Lihua Chen, Ralf Korn. Worst-case portfolio optimization in discrete time. Math. Meth. of OR, 90(2):197-227, 2019. [doi]
@article{ChenK19-18,
title = {Worst-case portfolio optimization in discrete time},
author = {Lihua Chen and Ralf Korn},
year = {2019},
doi = {10.1007/s00186-019-00668-8},
url = {https://doi.org/10.1007/s00186-019-00668-8},
researchr = {https://researchr.org/publication/ChenK19-18},
cites = {0},
citedby = {0},
journal = {Math. Meth. of OR},
volume = {90},
number = {2},
pages = {197-227},
}