Robust ranking and portfolio optimization

DOI10.1016/j.ejor.2012.03.023zbMath1253.91169MaRDI QIDQ1926870

Andrew W. Lo, Tri-Dung Nguyen

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.03.023

zbMATH Keywords

ranking; mixed integer programming; portfolio optimization; network flows; uncertainty modelling

Mathematics Subject Classification ID

90C11: Mixed integer programming

90C47: Minimax problems in mathematical programming

90B50: Management decision making, including multiple objectives

91G80: Financial applications of other theories

91G10: Portfolio theory

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