Robust portfolio selection with uncertain exit time using worst-case VaR strategy.

Dashan Huang Frank J. Fabozzi Masao Fukushima

Published in: Oper. Res. Lett. (2007)

Keyphrases

portfolio selection
robust optimization
worst case
risk measures
portfolio optimization
multistage stochastic
portfolio management
upper bound
mathematical programming
lower bound
dynamic programming
approximation algorithms
multiple objectives
financial markets