Robust asset allocation

Annals of Operations Research

Volumn 132, Issue 1-4, 2004, Pages 157-187

  Tutuncu R H ^a   Koenig, M ^b  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b Natl City Investm Mgmt Company   (United States)

Author keywords

mean variance optimization; robust optimization; saddle point problems

Indexed keywords

EID: 6344228054     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1023/B:ANOR.0000045281.41041.ed     Document Type: Conference Paper

References (11)

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