Worst-Case Value-at-Risk and Robust Portfolio Optimization: A Conic Programming Approach
@article{970679, author = {Laurent {{E}l~{G}haoui} and Maksim Oks and Francois Oustry}, title = {Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach}, journal = {Oper. Res.}, volume = {51}, number = {4}, year = {2003}, pages = {543--556}, publisher = {INFORMS} } |