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Robust portfolio asset allocation and risk measures.

Maria Grazia ScutellàRaffaella Recchia
Published in: Ann. Oper. Res. (2013)
Keyphrases
  • asset allocation
  • risk measures
  • portfolio management
  • portfolio optimization
  • robust optimization
  • portfolio selection
  • optimal portfolio
  • risk averse
  • decision making
  • stock market
  • linear program
  • stochastic programming