Log-robust portfolio management with parameter ambiguity
type: Item
instance of: scholarly article
title: Log-robust portfolio management with parameter ambiguity
zbMATH Open document ID: 1397.90214
author: Ban Kawas
author: Aurélie Thiele
published in: Computational Management Science
publication date: 2018-10-10T00:00:00Z
Mathematics Subject Classification ID: 90B50
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C59
Mathematics Subject Classification ID: 90C26
zbMATH DE Number: 6950374
zbMATH Keywords: robust optimization
zbMATH Keywords: weighted sum of exponentials
zbMATH Keywords: log-robust portfolio management
zbMATH Keywords: inner linear approximation
zbMATH Keywords: outer linear approximation
MaRDI profile type: Publication
full work available at URL: s10287-017-0275-8
OpenAlex ID: W2584122377
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DOI: 10.1007/S10287-017-0275-8
description: scientific article; zbMATH DE number 6950374