"Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic ..."

Laurent El Ghaoui, Maksim Oks, François Oustry (2003)

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DOI: 10.1287/OPRE.51.4.543.16101

access: closed

type: Journal Article

metadata version: 2020-03-31

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Laurent El Ghaoui, Maksim Oks, François Oustry:
Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach. Oper. Res. 51(4): 543-556 (2003)

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