Robust portfolios: Contributions from operations research and finance

Annals of Operations Research

Volumn 176, Issue 1, 2010, Pages 191-220

  Fabozzi, Frank J ^a   Huang, Dashan ^b   Zhou, Guofu ^b  

^a YALE UNIVERSITY   (United States)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

Mean CVaR; Mean VaR; Mean variance; Model uncertainty; Parameter uncertainty; Robust portfolio

Indexed keywords

EID: 77949424684     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-009-0515-6     Document Type: Article

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