Robust portfolio selection based on a multi-stage scenario tree (Q932207): Difference between revisions

@@ Property / author @@
-Shu-Zhong Zhang
@@ Property / author: Shu-Zhong Zhang / rank @@
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+Shu-Zhong Zhang
@@ Property / author: Shu-Zhong Zhang / rank @@
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+SeDuMi
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+https://doi.org/10.1016/j.ejor.2007.01.059
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+W1973074195
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@@ Property / cites work @@
+Robust Convex Optimization
@@ Property / cites work: Robust Convex Optimization / rank @@
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@@ Property / cites work @@
+Robust solutions of uncertain linear programs
@@ Property / cites work: Robust solutions of uncertain linear programs / rank @@
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@@ Property / cites work @@
+Lectures on Modern Convex Optimization
@@ Property / cites work: Lectures on Modern Convex Optimization / rank @@
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+Algorithms for the solution of stochastic dynamic minimax problems
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+A \({\mathsf{D}}\)-induced duality and its applications
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+The minimax approach to stochastic programming and an illustrative application
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+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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+Simulation and optimization approaches to scenario tree generation
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@@ Property / cites work @@
+Scenario generation and stochastic programming models for asset liability management
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@@ Property / cites work @@
+Multivariate Nonnegative Quadratic Mappings
@@ Property / cites work: Multivariate Nonnegative Quadratic Mappings / rank @@
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@@ Property / cites work @@
+Q4779122
@@ Property / cites work: Q4779122 / rank @@
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@@ Property / cites work @@
+Q4883366
@@ Property / cites work: Q4883366 / rank @@
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@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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@@ Property / cites work @@
+On sensitivity of central solutions in semidefinite programming
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@@ Property / cites work @@
+On Cones of Nonnegative Quadratic Functions
@@ Property / cites work: On Cones of Nonnegative Quadratic Functions / rank @@
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+Publication:932207