Parameter-free robust optimization for the maximum-Sharpe portfolio problem
type: Item
instance of: scholarly article
title: Parameter-free robust optimization for the maximum-Sharpe portfolio problem
zbMATH Open document ID: 1487.91112
author: Deepayan Chakrabarti
published in: European Journal of Operational Research
publication date: 2021-06-07T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 90C17
zbMATH DE Number: 7356030
zbMATH Keywords: finance
zbMATH Keywords: robust optimization
zbMATH Keywords: Sharpe ratio
zbMATH Keywords: portfolio optimization
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.11.052
OpenAlex ID: W3120756225
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DOI: 10.1016/J.EJOR.2020.11.052
description: scientific article; zbMATH DE number 7356030