Tractable robust expected utility and risk models for portfolio optimization

10.1111/j.1467-9965.2010.00417.x

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Main Authors:	Natarajan, K., Sim, M., Uichanco, J.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2013
Subjects:	Ambiguity Conic programming Expected utility Robust portfolio optimization
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/44208
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-44208
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spelling	sg-nus-scholar.10635-442082023-10-30T22:59:08Z Tractable robust expected utility and risk models for portfolio optimization Natarajan, K. Sim, M. Uichanco, J. MATHEMATICS DECISION SCIENCES Ambiguity Conic programming Expected utility Robust portfolio optimization 10.1111/j.1467-9965.2010.00417.x Mathematical Finance 20 4 695-731 2013-10-09T06:18:42Z 2013-10-09T06:18:42Z 2010 Article Natarajan, K., Sim, M., Uichanco, J. (2010). Tractable robust expected utility and risk models for portfolio optimization. Mathematical Finance 20 (4) : 695-731. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1467-9965.2010.00417.x 09601627 http://scholarbank.nus.edu.sg/handle/10635/44208 000282178300007 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Ambiguity Conic programming Expected utility Robust portfolio optimization
spellingShingle	Ambiguity Conic programming Expected utility Robust portfolio optimization Natarajan, K. Sim, M. Uichanco, J. Tractable robust expected utility and risk models for portfolio optimization
description	10.1111/j.1467-9965.2010.00417.x
author2	MATHEMATICS
author_facet	MATHEMATICS Natarajan, K. Sim, M. Uichanco, J.
format	Article
author	Natarajan, K. Sim, M. Uichanco, J.
author_sort	Natarajan, K.
title	Tractable robust expected utility and risk models for portfolio optimization
title_short	Tractable robust expected utility and risk models for portfolio optimization
title_full	Tractable robust expected utility and risk models for portfolio optimization
title_fullStr	Tractable robust expected utility and risk models for portfolio optimization
title_full_unstemmed	Tractable robust expected utility and risk models for portfolio optimization
title_sort	tractable robust expected utility and risk models for portfolio optimization
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/44208
_version_	1781411278997159936

Tractable robust expected utility and risk models for portfolio optimization

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