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Finance / Operations research / Mathematical optimization / Portfolio optimization / Normal distribution / Sharpe ratio / Robust optimization / Mutual fund separation theorem / Modern portfolio theory / Financial economics / Investment / Economics


ROBUST PORTFOLIO OPTIMIZATION USING A SIMPLE FACTOR MODEL
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Document Date: 2011-10-06 10:33:43

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City

London / /

Company

Matlab Software / S&P / /

Country

United States / /

Currency

pence / USD / /

Facility

INSTITUTE FOR MATHEMATICS AND ITS APPLICATIONS UNIVERSITY OF MINNESOTA / Lind Hall / /

/

IndustryTerm

heuristic algorithms / obtained optimal solution / /

MarketIndex

Hang Seng 40 / S&P 500 / CAC 40 / FTSE 100 / DAX 30 / HSI / S&P / SPX / CAC DAX / /

Organization

UNIVERSITY OF MINNESOTA / /

Person

Max Gain / Chris Bemis / Ting Wang / Max Drawdown / /

/

Position

SIMPLE FACTOR MODEL / /

URL

http /

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