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References from Robust portfolio selection using linear-matrix inequalities. Local targets link to admitted publications; unresolved targets remain external evidence.
Asset allocation: combining investor views with market equilibrium
10.3905/jfi.1991.408013 · 1991 · External reference
10.1137/1.9781611970777
10.1137/1.9781611970777 · External reference
Unresolved reference
1997 · External reference
A convex programming approach to h2-control of markovian jump linear systems
10.1080/002071797224595 · 1997 · External reference
Fluctuating confidence in stock markets: implication for returns and volatility
10.2307/2331232 · 1997 · External reference
10.2139/ssrn.199332
10.2139/ssrn.199332 · External reference
Unresolved reference
1995 · External reference
On a convex parameter space method for linear control design of uncertain systems
10.1137/0329021 · 1991 · External reference
A robust hedging algorithm
10.1016/s0165-1889(97)00017-1 · 1997 · External reference
Multi-period minimax hedging strategies
10.1016/0377-2217(95)00167-0 · 1996 · External reference
10.2469/faj.v48.n1.68
10.2469/faj.v48.n1.68 · External reference
Unresolved reference
1959 · External reference
Unresolved reference
External reference
Unresolved reference
External reference
A mean/variance analysis of tracking error
10.3905/jpm.1992.701922 · 1992 · External reference
A linear model for tracking error minimization
10.1016/s0378-4266(98)00076-4 · 1999 · External reference
Robust min-max portfolio strategies for rival forecast and risk scenarios
10.1016/s0165-1889(99)00088-3 · 2000 · External reference
Unresolved reference
1995 · External reference
