Regularized robust optimization: the optimal portfolio execution case
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Cited in
(6)- Recent advancements in robust optimization for investment management
- Anchored reactive and proactive solutions to the CPM-scheduling problem
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Regularizing portfolio optimization
- The regularization aspect of optimal-robust conditional value-at-risk portfolios
- Stability and continuity in robust optimization
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