Recent Developments in Robust Portfolios with a Worst-Case Approach.

Jang Ho Kim Woo Chang Kim Frank J. Fabozzi

Published in: J. Optim. Theory Appl. (2014)

Keyphrases

recent developments
worst case
recent advances
lower bound
greedy algorithm
average case
worst case scenario
np hard
computationally efficient
expert systems
hidden markov models
upper bound
partial occlusion
space complexity
parameter tuning