Browsing by Author "Samitas, Aristeidis"
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Article
Robust minimum variance portfolio optimization modelling under scenario uncertainty
Xidonas, Panos; Hassapis, Christis; Soulis, John; Samitas, Aristeidis (2017)Our purpose in this article is to develop a robust optimization model which minimizes portfolio variance for a finite set of covariance matrices scenarios. The proposed approach aims at the proper selection of portfolios, ...