An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
type: Item
instance of: scholarly article
title: An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
zbMATH Open document ID: 1394.90537
author: Betina Fernandes
author: Alexandre Street
author: Davi Michel Valladão
author: Cristiano Fernandes
published in: European Journal of Operational Research
publication date: 2018-05-24T00:00:00Z
Mathematics Subject Classification ID: 90C31
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C05
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6872178
zbMATH Keywords: finance
zbMATH Keywords: uncertainty modeling
zbMATH Keywords: robust portfolio optimization
describes a project that uses: XPRESS
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.05.038
OpenAlex ID: W2409556839
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DOI: 10.1016/J.EJOR.2016.05.038
description: scientific article; zbMATH DE number 6872178