Worst-case Optimal Robust Decisions for Multi-period Portfolio Optimization

Nalan Gulpinar and Berc Rustem

No 377, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: worst-case analysis; minimax algorithm; multi-stage portfolio optimization (search for similar items in EconPapers)
JEL-codes: O (search for similar items in EconPapers)
Date: 2002-07-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:377

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