A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection

DOI10.1007/978-3-319-42902-1_43zbMath1375.90232MaRDI QIDQ4596233

Hirotaka Ono, Omar Rifki

Publication date: 1 December 2017

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42902-1_43

Mathematics Subject Classification ID

90C15: Stochastic programming

91G80: Financial applications of other theories

91G10: Portfolio theory