Histogram models for robust portfolio optimization
نویسندگان
چکیده
منابع مشابه
Histogram Models for Robust Portfolio Optimization
This paper presents numerical experiments solving complex robust portfolio optimization problems. The models we study are motivated by realistic considerations, and are in principle combinatorially difficult; however we show that using modern optimization methodology one can solve large, real-life cases quite efficiently. We consider classical mean-variance problems [M52], [M59] and closely rel...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2007
ISSN: 1460-1559
DOI: 10.21314/jcf.2007.168