Portfolio selection under model uncertainty: a penalized moment-based optimization approach
type: Item
instance of: scholarly article
title: Portfolio selection under model uncertainty: a penalized moment-based optimization approach
zbMATH Open document ID: 1272.90038
author: Jonathan Y. Li
author: Roy H. Kwon
published in: Journal of Global Optimization
publication date: 2013-06-14T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6176120
zbMATH Keywords: portfolio selection
zbMATH Keywords: model uncertainty
zbMATH Keywords: distributionally robust optimization
zbMATH Keywords: penalty method
MaRDI profile type: Publication
full work available at URL: s10898-012-9969-1
OpenAlex ID: W1987434446
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DOI: 10.1007/S10898-012-9969-1
description: scientific article; zbMATH DE number 6176120