期刊
JOURNAL OF PORTFOLIO MANAGEMENT
卷 33, 期 3, 页码 40-+出版社
INST INVESTOR INC
DOI: 10.3905/jpm.2007.684751
关键词
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As quantitative techniques have become commonplace in the investment industry, the mitigation of estimation and model risk in portfolio management has grown in importance. Robust optimization, which incorporates estimation error directly into the portfolio optimization process, is typically used with conventional robust statistical estimation methods. This perspective on the robust optimization approach reviews useful practical extensions and discusses potential applications for robust portfolio optimization.
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