A new distributionally robust reward-risk model for portfolio optimization
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Publication:6595260
DOI10.1515/math-2024-0010zbMATH Open1544.913MaRDI QIDQ6595260
Publication date: 30 August 2024
Published in: Open Mathematics (Search for Journal in Brave)
Semidefinite programming (90C22) Portfolio theory (91G10) Robustness in mathematical programming (90C17)
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