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A log-robust optimization approach to portfolio management · Study

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ArticleA log-robust optimization approach to portfolio management

Ban Kawas2009

Article2009

A log-robust optimization approach to portfolio management

Ban Kawas · Aurélie C. Thiele

34 citations·0/0 files stored·OR Spectrum

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1959Portfolio Selection: Efficient Diversification of Investments 2016“Options, Futures, and Other Derivatives”2004The Price of Robustness 2003Options, Futures and Other Derivatives 1962Portfolio Selection: Efficient Diversification of Investments.2001Empirical properties of asset returns: stylized facts and statistical issues

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Year2009

Typearticle

Published2009-01-03

VenueOR Spectrum

ISSN-L0171-6468

Languageen

Citations34

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s00291-008-0162-3

openalex_workW1999596133

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