Distributionally robust sparse portfolio selection (Q7015241)
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scientific article; zbMATH DE number 8008533
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Distributionally robust sparse portfolio selection |
scientific article; zbMATH DE number 8008533 |
Statements
Distributionally robust sparse portfolio selection (English)
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10 March 2025
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distributionally robust
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sparse portfolio
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Wasserstein distance
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Lagrangian relaxation
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infinite dimensional programming
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mixed-integer programming
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