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"Robust portfolio selection with uncertain exit time using worst-case VaR ..."

Dashan Huang, Frank J. Fabozzi, Masao Fukushima (2007)

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DOI: 10.1016/J.ORL.2006.10.005

access: closed

type: Journal Article

metadata version: 2018-11-30

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Dashan Huang, Frank J. Fabozzi, Masao Fukushima:
Robust portfolio selection with uncertain exit time using worst-case VaR strategy. Oper. Res. Lett. 35(5): 627-635 (2007)

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