Robust min-max portfolio strategies for rival forecast and risk scenarios
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 24 (2000)
Issue (Month): 11-12 (October)
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Web page: http://www.elsevier.com/locate/jedc
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Victor de Miguel & Alberto Martín Utrera & Francisco J. Nogales, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," Statistics and Econometrics Working Papers ws132119, Universidad Carlos III, Departamento de Estadística y Econometría.
- Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Discussion Paper 2002-114, Tilburg University, Center for Economic Research.
- DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
- Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
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- Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
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