Regularized robust optimization: the optimal portfolio execution case (Q2376119)

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Regularized robust optimization: the optimal portfolio execution case
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    Statements

    title
    Regularized robust optimization: the optimal portfolio execution case (English)
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    author
    Somayeh Moazeni
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    Yuying Li
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    Thomas F. Coleman
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    publication date
    26 June 2013
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    zbMATH Keywords
    robust optimization
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    estimation errors
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    portfolio optimization
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    price impact
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    describes a project that uses
    GloptiPoly
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    ROptEst
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    SeDuMi
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    SDPT3
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    CVX
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    cites work
    Q3419537
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    Q3182207
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    Q4496020
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    Q4503250
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    Q5689624
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    Q5835082
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    Q5690370
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    Q4883366
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    The Liquidity Discount
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    Identifiers

    zbMATH DE Number
    6181351
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    OpenAlex ID
    W2069942923
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