Robust portfolio optimization: a conic programming approach
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Volume (Year): 52 (2012)
Issue (Month): 2 (June)
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- Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
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