An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets (Q1752147)
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scientific article; zbMATH DE number 6872178
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| English | An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets |
scientific article; zbMATH DE number 6872178 |
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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets (English)
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24 May 2018
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finance
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uncertainty modeling
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robust portfolio optimization
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0.7973973155021667
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0.7662796378135681
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0.7635010480880737
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0.7583827376365662
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