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      Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

      Author(s): , ,
      Publication date Created:
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      Journal: Operations Research
      Publisher: Institute for Operations Research and the Management Sciences (INFORMS)

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          Interior-Point Polynomial Algorithms in Convex Programming

          Yurii Nesterov, Arkadii S. Nemirovskii (1994)
          Book 0 comments Cited 330 times – based on 0 reviews
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            Applications of second-order cone programming

            Miguel Lobo, Lieven Vandenberghe, Stephen Boyd … (1998)
            Article 0 comments Cited 264 times – based on 0 reviews     Review now
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              Global Portfolio Optimization

              Fischer Black, Robert Litterman (1992)
              Article 0 comments Cited 112 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Operations Research
                Abbreviated Title: Operations Research
                Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
                ISSN (Print): 0030-364X
                ISSN (Electronic): 1526-5463
                Publication date Created: August 2003
                Publication date (Print): August 2003
                Volume: 51
                Issue: 4
                Pages: 543-556
                Article
                DOI: 10.1287/opre.51.4.543.16101
                SO-VID: d0aeedf5-6e84-4e55-aa4c-fb3d85145da8
                Copyright © © 2003
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