A conic programming approach for robust portfolio optimization problems (Q3170980)
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scientific article; zbMATH DE number 5951623
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| default for all languages | No label defined |
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| English | A conic programming approach for robust portfolio optimization problems |
scientific article; zbMATH DE number 5951623 |
Statements
29 September 2011
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robust portfolio optimization
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linear programming
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second-order cone programming
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transaction costs
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0.8508481979370117
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0.8442387580871582
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0.8414786458015442
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0.8371899724006653
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