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Q5873991 - MaRDI portal

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scientific article; zbMATH DE number 7652673
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English
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scientific article; zbMATH DE number 7652673

    Statements

    author
    Jingnan Chen
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    Lei Sun
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    Ning Zhang
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    publication date
    10 February 2023
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    zbMATH Keywords
    portfolio selection
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    distributionally robust optimization
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    transaction costs
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    \(\ell_1\) regularization
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    worst-case optimized certainty equivalence
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C22
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    90C25
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    zbMATH DE Number
    7652673
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