TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

Journal article

Peer reviewed

Karthik Natarajan, Melvyn Sim and Joline Uichanco

Mathematical finance, Vol.20(4), pp.695-731

01/10/2010

Abstract

ambiguity

conic programming

expected utility

robust portfolio optimization

1 Record Views

Title: TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
Creators - without role: Karthik Natarajan - Duke-NUS Medical School
Melvyn Sim - National University of Singapore
Joline Uichanco - Massachusetts Institute of Technology
Publication Details: Mathematical finance, Vol.20(4), pp.695-731
Publisher: Blackwell Publishing Inc
Number of pages: 37
Identifiers: 9912475409846
Academic Unit: ESD Pillar
Language: English
Resource Type: Journal article