Robust portfolio optimisation with filtering uncertainty
This thesis focuses on how portfolio optimisation can be carried out under different types of uncertainty, which we often measure through the use of filters. Chapter 1 motivates the problem, gives an overview of the thesis and covers some necessary background material. Chapter 2 deals with uncertain...
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University of Oxford
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.748705 |