Nalan Gülpinar, Berç Rustem. Worst-case robust decisions for multi-period mean-variance portfolio optimization. European Journal of Operational Research, 183(3):981-1000, 2007. [doi]
@article{GulpinarR07-0,
title = {Worst-case robust decisions for multi-period mean-variance portfolio optimization},
author = {Nalan Gülpinar and Berç Rustem},
year = {2007},
doi = {10.1016/j.ejor.2006.02.046},
url = {http://dx.doi.org/10.1016/j.ejor.2006.02.046},
tags = {optimization},
researchr = {https://researchr.org/publication/GulpinarR07-0},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {183},
number = {3},
pages = {981-1000},
}