Best-Case Scenario Robust Portfolio: Evidence from China Stock Market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-022-09375-7.pdf
Reference39 articles.
1. Ben-Tal, A., El Ghaoui, L., & Nemirovski, A. (2009). Robust optimization. Princeton University Press.
2. Ben-Tal, A., & Nemirovski, A. (1998). Robust convex optimization. Mathematics of Operations Research, 23(4), 769–805.
3. Ben-Tal, A., & Nemirovski, A. (1999). Robust solutions of uncertain linear programs. Operations Research Letters, 25, 1–13.
4. Carlos, G. P., Moreno, M., & Peña, J. I. (2014). Tail risk in energy portfolios. Energy Economics, 46, 422–434.
5. Chen, C., & Wei, Y. (2018). Robust multiobjective portfolio optimization: A set order relations approach. Journal of Combinatorial Optimization, 11, 1–29.
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