Distributionally robust optimization under moment uncertainty with application to data-driven problems (Q3098258)
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scientific article; zbMATH DE number 5973508
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| English | Distributionally robust optimization under moment uncertainty with application to data-driven problems |
scientific article; zbMATH DE number 5973508 |
Statements
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (English)
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17 November 2011
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estimation
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portfolio optimization
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0.8444758653640747
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0.8212883472442627
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0.8177682757377625
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0.8150874376296997
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0.8079918622970581
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