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Worst-case risk of a portfolio
Numerical calculation portfolio risk return on assets average semidefinite programming
2015/8/11
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...