Work

Robust tracking error portfolio selection with worst-case downside risk measures

Year: 2013

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/j.jedc.2013.11.011

Authors: Aifan Ling, Jie Sun, Xiaoguang Yang

Institutions: Jiangxi University of Finance and Economics, Curtin University, Academy of Mathematics and Systems Science

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2082086189

FWCI: 2.556

Cites: 48

Cited by: 32

Related to: 10