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Online robust portfolio risk management using total least-squares and parallel splitting algorithms.

Konstantinos SlavakisGeert LeusGeorgios B. Giannakis
Published in: ICASSP (2013)
Keyphrases
  • risk management
  • decision support system
  • portfolio optimization
  • total least squares
  • probability distribution
  • project management
  • data sets
  • data mining
  • np hard
  • risk assessment