Robust Portfolio Optimization using CAPM Approach
In this paper, a new robust model of multi-period portfolio problem has been developed. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robu...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Persa |
| Publicat: |
University of Isfahan
2013-08-01
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| Col·lecció: | مدیریت تولید و عملیات |
| Matèries: | |
| Accés en línia: | http://uijs.ui.ac.ir/jpom/browse.php?a_code=A-10-185-1&slc_lang=en&sid=1 |
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