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Outliers, influence functions, and robust portfolio optimization.

Michael B. KremerR. Douglas Martin
Published in: CIFEr (1998)
Keyphrases
  • portfolio optimization
  • robust optimization
  • portfolio selection
  • portfolio management
  • factor analysis
  • problems involving
  • stock exchange
  • decision making
  • simulated annealing
  • optimization methods
  • stock price