A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure
Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
|
| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2014/912389 |