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Composition of robust equity portfolios · Study

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ArticleComposition of robust equity portfolios

Jang Ho Kim2013

Article2013

Composition of robust equity portfolios

Jang Ho Kim · Woo Chang Kim · Frank J. Fabozzi

25 citations·0/0 files stored·Finance research letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1952PORTFOLIO SELECTION*1961Risk, Ambiguity, and the Savage Axioms 1959Portfolio Selection: Efficient Diversification of Investments 1989Maxmin expected utility with non-unique prior 1962Portfolio Selection: Efficient Diversification of Investments.1963A Simplified Model for Portfolio Analysis 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

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201360 Years of portfolio optimization: Practical challenges and current trends

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Year2013

Typearticle

Published2013-02-27

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations25

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.frl.2013.02.001

openalex_workW2017438938

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