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On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach - MaRDI portal

On Solving Robust Log-Optimal Portfolio: A Supporting Hyperplane Approximation Approach

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Publication:6390488

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DOI10.1016/J.EJOR.2023.09.040arXiv2202.03858OpenAlexW4387368861MaRDI QIDQ6390488

Chung-Han Hsieh

Publication date: 8 February 2022

Full work available at URL: https://doi.org/10.1016/j.ejor.2023.09.040

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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