Robust ranking and portfolio optimization (Q1926870)

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Robust ranking and portfolio optimization
scientific article

    Statements

    title
    Robust ranking and portfolio optimization (English)
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    author
    Tri-Dung Nguyen
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    Andrew W. Lo
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    publication date
    29 December 2012
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    zbMATH Keywords
    uncertainty modelling
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    network flows
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    portfolio optimization
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    ranking
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    mixed integer programming
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G80
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    90C47
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    90B50
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    90C11
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    zbMATH DE Number
    6119458
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