Robust portfolio optimization: a conic programming approach (Q453610)

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Robust portfolio optimization: a conic programming approach
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    Statements

    title
    Robust portfolio optimization: a conic programming approach (English)
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    author
    Kai Ye
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    Panos Parpas
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    Berc Rustem
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    publication date
    27 September 2012
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    zbMATH Keywords
    mean variance optimization
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    robust optimization
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    conic programming
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    describes a project that uses
    SeDuMi
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    SDPT3
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    Identifiers

    zbMATH DE Number
    6087668
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