Robust portfolio planning in the presence of market anomalies

Omega

Volumn 35, Issue 1, 2007, Pages 1-6

  Oǧuzsoy, Cemal Berk ^a   Güven, Sibel ^a  

^a MIDDLE EAST TECHNICAL UNIVERSITY   (Turkey)

Author keywords

Market anomalies; Portfolio selection; Risk; Robust optimization; Stochastic programming

Indexed keywords

COMMERCE; FINANCIAL MARKETS; RISK MANAGEMENT; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

COMPOSITE INDEX; ISTANBUL STOCK EXCHANGE; MARKET ANOMALY; MODEL FORMULATION; OPTIMIZATION FRAMEWORK; PORTFOLIO MODEL; PORTFOLIO PLANNING; PORTFOLIO SELECTION; ROBUST OPTIMIZATION; US DOLLAR;

PROFITABILITY;

EID: 33748181516     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.omega.2005.01.020     Document Type: Article

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