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Worst-case Optimal Robust Decisions for Multi-period Mean-Variance Portfolio Optimization

Nalan Gülpinar, Berç Rustem. Worst-case Optimal Robust Decisions for Multi-period Mean-Variance Portfolio Optimization. In Sio Iong Ao, Jeong-A. Lee, Oscar Castillo, Pranay Chaudhuri, David Dagan Feng, editors, Proceedings of the International MultiConference of Engineers and Computer Scientists 2006, IMECS 06, June 20-22, 2006, Hong Kong, China. Lecture Notes in Engineering and Computer Science, pages 985-985, Newswood Limited, 2006.

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Nalan Gülpinar

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Berç Rustem

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