Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection

Bernardo K. Pagnoncelli, D. Reich, Marco C. Campi. Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection. J. Optimization Theory and Applications, 155(2):707-722, 2012. [doi]

Authors

Bernardo K. Pagnoncelli

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D. Reich

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Marco C. Campi

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