Worst-case VaR and robust portfolio optimization with interval random uncertainty set.
https://doi.org/10.1016/j.eswa.2010.06.010
@article{DBLP:journals/eswa/ChenTY11,
author = {Wei Chen and
Shaohua Tan and
Dongqing Yang},
title = {Worst-case VaR and robust portfolio optimization with interval random
uncertainty set},
journal = {Expert Syst. Appl.},
volume = {38},
number = {1},
pages = {64--70},
year = {2011},
url = {https://doi.org/10.1016/j.eswa.2010.06.010},
doi = {10.1016/j.eswa.2010.06.010},
timestamp = {Fri, 26 May 2017 22:54:15 +0200},
biburl = {https://dblp.org/rec/journals/eswa/ChenTY11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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