Optimal Portfolio Selection Under the Estimation Risk in Mean Return
This thesis investigates robust techniques for mean-variance (MV) portfolio optimization problems under the estimation risk in mean return. We evaluate the performance of the optimal portfolios generated by the min-max robust MV portfolio optimization model. With an ellipsoidal uncertainty set based...
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| Language: | en |
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2008
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| Online Access: | http://hdl.handle.net/10012/3492 |