Recent Developments in Robust Portfolios with a Worst-Case Approach

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi. Recent Developments in Robust Portfolios with a Worst-Case Approach. J. Optimization Theory and Applications, 161(1):103-121, 2014. [doi]

Authors

Jang Ho Kim

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Woo Chang Kim

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Frank J. Fabozzi

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