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    Robust portfolio selection with uncertain exit time using worst-case VaR strategy
    14 years 5 months ago
    Robust portfolio selection with uncertain exit time using worst-case VaR strategy
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    In this paper we consider the robust portfolio selection problem involving two types of uncertainties; the uncertainty in the distribution of exit time and the uncertainty in the ...
    Dashan Huang, Frank J. Fabozzi, Masao Fukushima
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