Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints (Q2885873)
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scientific article; zbMATH DE number 6040733
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| English | Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints |
scientific article; zbMATH DE number 6040733 |
Statements
1 June 2012
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robust optimization
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portfolio selection
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ellipsoidal uncertainty set
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probability constraint
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linear matrix inequality
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Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints (English)
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0.8780885338783264
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0.8742538690567017
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0.8592125177383423
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0.8302591443061829
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