The worst-case discounted regret portfolio optimization problem
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Publication:274372
DOI10.1016/j.amc.2014.04.072zbMath1335.91063MaRDI QIDQ274372
F. Blanchet-Sadri, M. Dambrine
Publication date: 22 April 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.072
linear programming; linearization method; robust optimization; discounted regret portfolio optimization; uncertain distributions
90C90: Applications of mathematical programming
90C05: Linear programming
91G80: Financial applications of other theories
91G10: Portfolio theory
Uses Software