On the role of norm constraints in portfolio selection
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Volume (Year): 8 (2011)
Issue (Month): 4 (November)
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- Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
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