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

Laurent El Ghaoui and F. Oustry and M. Oks

EECS Department, University of California, Berkeley

Technical Report No. UCB/ERL M00/59

2000

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http://www2.eecs.berkeley.edu/Pubs/TechRpts/2000/Archive/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},
    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