Uncertain portfolio optimization problem under a minimax risk measure (Q1985202)
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scientific article; zbMATH DE number 7187283
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| English | Uncertain portfolio optimization problem under a minimax risk measure |
scientific article; zbMATH DE number 7187283 |
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Uncertain portfolio optimization problem under a minimax risk measure (English)
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7 April 2020
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portfolio optimization
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minimax risk measure
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uncertain variable
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analytic solution
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0.8510774970054626
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0.8374110460281372
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0.8043296933174133
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