On Worst Case Portfolio Optimization

16 Citations (Scopus)

Original language	English
Journal	SIAM Journal on Control and Optimization
Volume	46
Issue number	6
Pages (from-to)	2013-2030
Number of pages	17
ISSN	0363-0129
Publication status	Published - 2007

Cite this

@article{d1c98b00168911ddbee902004c4f4f50,

title = "On Worst Case Portfolio Optimization",

author = "Mogens Steffensen and Ralf Korn",

year = "2007",

language = "English",

volume = "46",

pages = "2013--2030",

journal = "SIAM Journal on Control and Optimization",

issn = "0363-0129",

publisher = "Society for Industrial and Applied Mathematics",

number = "6",

}