Uncertain portfolio optimization problem under a minimax risk measure
type: Item
instance of: scholarly article
title: Uncertain portfolio optimization problem under a minimax risk measure
zbMATH Open document ID: 1481.91195
author: Bo Li
author: Yufei Sun
author: Grace Aw
author: Kok Lay Teo
published in: Applied Mathematical Modelling
publication date: 2020-04-07T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C47
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7187283
zbMATH Keywords: portfolio optimization
zbMATH Keywords: minimax risk measure
zbMATH Keywords: uncertain variable
zbMATH Keywords: analytic solution
MaRDI profile type: Publication
full work available at URL: j.apm.2019.06.019
OpenAlex ID: W2950991265
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Wikidata QID: Q127653390
DOI: 10.1016/J.APM.2019.06.019
description: scientific article; zbMATH DE number 7187283