Robust Portfolio Selection Problems
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Publication:5704112
DOI10.1287/moor.28.1.1.14260zbMath1082.90082OpenAlexW2069099760MaRDI QIDQ5704112
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Publication date: 11 November 2005
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/716e3caebc713772e0ded4eeb53b435b8f5646cf
robust optimizationlinear regressionsecond-order cone programmingmean-variance portfolio selectionvalue-at-risk portfolio selection
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