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Robust worst-case optimal investment - MaRDI portal

Robust worst-case optimal investment (Q2516638)

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Robust worst-case optimal investment
scientific article

    Statements

    title
    Robust worst-case optimal investment (English)
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    author
    Sascha Desmettre
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    Ralf Korn
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    Peter Ruckdeschel
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    Frank Thomas Seifried
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    published in
    OR Spectrum
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    publication date
    3 August 2015
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    zbMATH Keywords
    worst case
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    crash scenario
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    robust optimization
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    knightian uncertainty
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    efficiency
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    min-max approach
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    describes a project that uses
    ROME
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    R
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    ROptEst
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    cites work
    Rejection of Outliers
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    Q3723487
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91G10
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    62C20
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    62P05
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    zbMATH DE Number
    6469389
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    OpenAlex ID
    W3121677600
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