Robust empirical optimization is almost the same as mean-variance optimization
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Publication:2417186
DOI10.1016/j.orl.2018.05.005OpenAlexW3125373499MaRDI QIDQ2417186
Andrew E. B. Lim, Michael Jong Kim, Jun-Ya Gotoh
Publication date: 11 June 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2018.05.005
regularizationmean-variance optimizationbias-variance trade-off\(\phi\)-divergencedata-driven optimizationrobust empirical optimization
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