A log-robust optimization approach to portfolio management
We present a robust optimization approach to portfolio management under uncertainty that builds upon insights gained from the well-known Lognormal model for stock prices, while addressing the model’s limitations, in particular, the issue of fat tails being underestimated in the Gaussian framework an...
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Published in | OR Spectrum Vol. 33; no. 1; pp. 207 - 233 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Berlin/Heidelberg
Springer-Verlag
2011
Springer Nature B.V |
Subjects | |
Online Access | Get full text |
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