Parameter-free robust optimization for the maximum-Sharpe portfolio problem
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Publication:2030537
DOI10.1016/j.ejor.2020.11.052zbMath1487.91112OpenAlexW3120756225MaRDI QIDQ2030537
Publication date: 7 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.11.052
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Robustness in mathematical programming (90C17)
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