Worst-case analysis of Gini mean difference safety measure

DOI10.3934/jimo.2020037zbMath1476.91159OpenAlexW3008651224MaRDI QIDQ1983716

Aparna Mehra, Ruchika Sehgal

Publication date: 10 September 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020037

zbMATH Keywords

Gini mean differencemixed uncertaintyinterval+ polyhedral uncertaintyportfolio selection robust optimization

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of mathematical programming (90C90) Mixed integer programming (90C11) Portfolio theory (91G10)

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