Robust multiobjective optimization \& applications in portfolio optimization

DOI10.1016/j.ejor.2013.10.028zbMath1304.91191OpenAlexW2088140565MaRDI QIDQ2514713

Jörg Fliege, Ralf Werner

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.10.028

zbMATH Keywords

uncertaintymultiobjective optimizationrobustificationMarkowitz problem

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Financial applications of other theories (91G80) Portfolio theory (91G10)

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