A framework for optimization under ambiguity

DOI10.1007/S10479-010-0812-0zbMath1255.91454OpenAlexW2009348384MaRDI QIDQ1931627

David Wozabal

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0812-0

zbMATH Keywords

robust optimizationnon-convex optimizationportfolio managementexpected shortfalldifference of convex algorithmsemi definite programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)

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