Regularized distributionally robust optimization with application to the index tracking problem

DOI10.1007/S10479-023-05726-3MaRDI QIDQ6573374FDOQ6573374

Leyang Zhao, G. Li, Spiridon Penev

Publication date: 16 July 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

nonconvex optimizationdistributional robustnesssparse optimizationindex tracking problem

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Robustness in mathematical programming (90C17)

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