Christine Gregory

CARISMA, Brunel University

PhD Candidate

John Crank Building

Brunel University

Uxbridge , UB8 3PH

United Kingdom

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1.

Robust Optimisation and Portfolio Selection: The Cost of Robustness

Number of pages: 32 Posted: 16 Aug 2008
Christine Gregory, Kenneth Darby-Dowman and Gautam Mitra
CARISMA, Brunel University, Brunel University and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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Abstract:

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robust optimization, portfolio selection