Ralf Korn, Mogens Steffensen. On Worst-Case Portfolio Optimization. SIAM J. Control and Optimization, 46(6):2013-2030, 2007. [doi]
@article{KornS07, title = {On Worst-Case Portfolio Optimization}, author = {Ralf Korn and Mogens Steffensen}, year = {2007}, doi = {10.1137/060657145}, url = {http://dx.doi.org/10.1137/060657145}, tags = {optimization}, researchr = {https://researchr.org/publication/KornS07}, cites = {0}, citedby = {0}, journal = {SIAM J. Control and Optimization}, volume = {46}, number = {6}, pages = {2013-2030}, }