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Robust international portfolio management

Raquel Fonseca, Wolfram Wiesemann and Berç Rustem

Computational Management Science, 2012, vol. 9, issue 1, 62 pages

Keywords: Semidefinite programming; Robust optimization; International portfolio optimization; Risk management; Quanto options (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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Working Paper: Robust International Portfolio Management (2010) Downloads
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DOI: 10.1007/s10287-011-0132-0

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