International portfolio management with affine policies
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
- Kamil J. Mizgier & Joseph M. Pasia, 2016. "Multiobjective optimization of credit capital allocation in financial institutions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 801-817, December.
More about this item
KeywordsLinear decision rules; Robust optimization; Multistage portfolio optimization; Semidefinite programming; Worst case value-at-risk;
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