Robust optimal decisions with imprecise forecasts
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- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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- Rustem, Berc, 1994. "Stochastic and robust control of nonlinear economic systems," European Journal of Operational Research, Elsevier, vol. 73(2), pages 304-318, March.
- Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3032-3052, July.
- Schmidt, Karsten, 1993. "On the performance of minimax estimators in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 16(4), pages 455-468, October.
- Khan, B.U. & Ahmed, S.E., 2006. "Comparisons of improved risk estimators of the multivariate mean vector," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 402-421, January.
- Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.
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