Bi-level optimization approach for robust mean-variance problems
From MaRDI portal
Recommendations
- Bilevel derivative-free optimization and its application to robust optimization
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Bi-objective robust optimisation
- Uncertainty handling in bilevel optimization for robust and reliable solutions
- Optimality conditions and duality results for a robust bi-level programming problem
- A bicriteria approach to robust optimization
- A robust approach for modeling limited observability in bilevel optimization
- Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization
- On a stochastic bilevel programming problem
- scientific article; zbMATH DE number 7652681
Cited in
(6)- Recent advancements in robust optimization for investment management
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Goal-based investing based on multi-stage robust portfolio optimization
- A robust mean absolute deviation model for a portfolio optimization problem with asymmetric data uncertainty
- Feasibility conditions of robust portfolio solutions with single and combined uncertainties
- Bilevel robust optimization approach for multi-period sparse portfolio selection
This page was built for publication: Bi-level optimization approach for robust mean-variance problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5034717)
