Robust portfolio selection with uncertain exit time using worst-case VaR strategy

Operations Research Letters

Volumn 35, Issue 5, 2007, Pages 627-635

  Huang, Dashan ^a   Fabozzi, Frank J ^b   Fukushima, Masao ^a  

^a KYOTO UNIVERSITY   (Japan)

^b YALE UNIVERSITY   (United States)

Author keywords

Robust portfolio selection; Semi definite programming; Uncertain exit time; Worst case VaR

Indexed keywords

COMPUTER SYSTEMS PROGRAMMING; NUMERICAL METHODS; OPERATIONS RESEARCH; PROBLEM SOLVING; ROBUST CONTROL;

ROBUST PORTFOLIO SELECTION; SEMI-DEFINITE PROGRAMMING; UNCERTAIN EXIT TIME; WORST-CASE VAR;

UNCERTAIN SYSTEMS;

EID: 34547652228     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2006.10.005     Document Type: Article

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