Bi-level optimization approach for robust mean-variance problems

DOI10.1051/RO/2021129zbMATH Open1485.90085OpenAlexW3198853064MaRDI QIDQ5034717

Pulak Swain, A. K. Ojha

Publication date: 21 February 2022

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2021129

zbMATH Keywords

robust optimizationbi-level optimizationmean-variance modelellipsoidal uncertaintybox uncertainty

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Financial markets (91G15) Robustness in mathematical programming (90C17)

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