Robust trade-off portfolio selection

Won, JH; Kim, SJ

Won, JH (corresponding author), Seoul Natl Univ, Dept Stat, Seoul 08826, South Korea.

OPTIMIZATION AND ENGINEERING, 2020; 21 (3): 867

Abstract

Robust portfolio selection explicitly incorporates a model of parameter uncertainty in the problem formulation, and optimizes for the worst-case scena......

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