International portfolio management with affine policies
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References listed on IDEAS
- Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, vol. 9(1), pages 31-62, February.
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- 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.
- repec:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2573-5 is not listed on IDEAS
- repec:spr:coopap:v:70:y:2018:i:1:d:10.1007_s10589-017-9974-x is not listed on IDEAS
- 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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