Portfolio optimization with \(pw\)-robustness (Q668953)

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Portfolio optimization with \(pw\)-robustness
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    title
    Portfolio optimization with \(pw\)-robustness (English)
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    author
    Virginie Gabrel
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    Cécile Murat
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    Aurélie Thiele
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    publication date
    19 March 2019
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    zbMATH DE Number
    7038445
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    zbMATH Keywords
    portfolio optimization
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    robust optimization
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    value-at-risk
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    OpenAlex ID
    W2797770277
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    cites work
    Random Convex Programs
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