Worst-Case Value-at-Risk and Robust Asset Allocation: A Semidefinite Programming Approach

Laurent El Ghaoui, F. Oustry and M. Oks

EECS Department
University of California, Berkeley
Technical Report No. UCB/ERL M00/59
December 2000

http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/ERL-00-59.pdf

BibTeX citation:

@techreport{El Ghaoui:M00/59,
    Author = {El Ghaoui, Laurent and Oustry, F. and Oks, M.},
    Title = {Worst-Case Value-at-Risk and Robust Asset Allocation: A Semidefinite Programming Approach},
    Institution = {EECS Department, University of California, Berkeley},
    Year = {2000},
    Month = {Dec},
    URL = {http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/3918.html},
    Number = {UCB/ERL M00/59}
}

EndNote citation:

%0 Report
%A El Ghaoui, Laurent
%A Oustry, F.
%A Oks, M.
%T Worst-Case Value-at-Risk and Robust Asset Allocation: A Semidefinite Programming Approach
%I EECS Department, University of California, Berkeley
%D 2000
%@ UCB/ERL M00/59
%U http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/3918.html
%F El Ghaoui:M00/59