Worst-case robust decisions for multi-period mean-variance portfolio optimization

European Journal of Operational Research

Volumn 183, Issue 3, 2007, Pages 981-1000

  Gülpinar, Nalan ^a   Rustem, Berç ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Finance; Nonlinear programming; Risk management; Scenario tree; Stochastic programming; Uncertainty modelling; Worst case design

Indexed keywords

NONLINEAR PROGRAMMING; OPTIMIZATION; RISK MANAGEMENT; ROBUST CONTROL; STOCHASTIC PROGRAMMING; UNCERTAINTY ANALYSIS;

SCENARIO TREE; UNCERTAINTY MODELING; WORST-CASE DESIGN;

DECISION TREES;

EID: 34447100481     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.02.046     Document Type: Article

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