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- W144749838 abstract "The main goal of this chapter is to formulate a robust mean-semivariance portfolio selection problem in terms of a linear matrix inequalities (LMI) optimization problem. We consider different forms of calculating the mean and semivariance of the tracking error. It is desired to minimize an objective function defined as a convex combination of the risk function minus the expected return of the tracking error." @default.
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- W144749838 date "2002-01-01" @default.
- W144749838 modified "2023-09-24" @default.
- W144749838 title "A Linear Matrix Inequalities Approach to Robust Mean-Semivariance Portfolio Optimization" @default.
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- W144749838 doi "https://doi.org/10.1007/978-1-4757-3613-7_6" @default.
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