Robust Portfolio Selection Problems
type: Item
instance of: scholarly article
title: Robust Portfolio Selection Problems
zbMATH Open document ID: 1082.90082
published in: Mathematics of Operations Research
publication date: 2005-11-11T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 2228277
zbMATH Keywords: robust optimization
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: value-at-risk portfolio selection
zbMATH Keywords: second-order cone programming
zbMATH Keywords: linear regression
describes a project that uses: SeDuMi
MaRDI profile type: Publication
OpenAlex ID: W2069099760
DOI: 10.1287/MOOR.28.1.1.14260
description: scientific article; zbMATH DE number 2228277