Log-robust portfolio management with parameter ambiguity (Q1789607)
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scientific article; zbMATH DE number 6950374
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Log-robust portfolio management with parameter ambiguity |
scientific article; zbMATH DE number 6950374 |
Statements
Log-robust portfolio management with parameter ambiguity (English)
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10 October 2018
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robust optimization
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weighted sum of exponentials
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log-robust portfolio management
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inner linear approximation
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outer linear approximation
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0.8955404758453369
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0.8637585043907166
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0.81231689453125
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0.8062058687210083
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0.8051535487174988
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