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Robust portfolios that do not tilt factor exposure.
Woo Chang Kim
Min Jeong Kim
Jang Ho Kim
Frank J. Fabozzi
Published in:
Eur. J. Oper. Res. (2014)
Keyphrases
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computationally efficient
parameter tuning
data mining
website
case study
lower bound
evolutionary algorithm
least squares
robust estimation
robust optimization
portfolio selection