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A new approach for worst-case regret portfolio optimization problem - MaRDI portal

A new approach for worst-case regret portfolio optimization problem (Q2321628)

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A new approach for worst-case regret portfolio optimization problem
scientific article

    Statements

    title
    A new approach for worst-case regret portfolio optimization problem (English)
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    author
    Ying Ji
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    Yeming Dai
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    Shao-Jian Qu
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    publication date
    23 August 2019
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    zbMATH Keywords
    portfolio optimization
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    worst-case regret
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    robust optimization
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    linearization
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    reformulation
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    Identifiers

    Mathematics Subject Classification ID
    37N40
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    91G10
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    90C15
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    90C47
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    zbMATH DE Number
    7097869
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    OpenAlex ID
    W2901187524
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    Wikidata QID
    Q128861806
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    DOI
    10.3934/DCDSS.2019050
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