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Robust portfolios that do not tilt factor exposure.

Woo Chang KimMin Jeong KimJang Ho KimFrank J. Fabozzi
Published in: Eur. J. Oper. Res. (2014)
Keyphrases
  • computationally efficient
  • parameter tuning
  • data mining
  • website
  • case study
  • lower bound
  • evolutionary algorithm
  • least squares
  • robust estimation
  • robust optimization
  • portfolio selection