A framework for optimization under ambiguity
From MaRDI portal
Publication:1931627
DOI10.1007/s10479-010-0812-0zbMath1255.91454OpenAlexW2009348384MaRDI QIDQ1931627
Publication date: 15 January 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-010-0812-0
robust optimizationnon-convex optimizationportfolio managementexpected shortfalldifference of convex algorithmsemi definite programming
Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)
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