Distributionally robust sparse portfolio optimization model under satisfaction criterion

DOI10.3934/MFC.2023043MaRDI QIDQ7015246zbMATH OpenFDO

Authors Zhongyan Wang, Xiaodong Zhu, Shaojian Qu, M. F. Nadeem, Beibei Zhang

Publication date 10 March 2025

Published in Mathematical Foundations of Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/MFC.2023043

zbMATH Keywords

Benders' decompositiondistributionally robust optimizationsatisfaction criterionsparse portfolio selection

Mathematics Subject Classification ID

Robustness in mathematical programming (90C17) Portfolio theory (91G10)

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Cited in

(1)

• Robust optimal dividend and reinsurance under model uncertainty

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