Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
This paper addresses the portfolio selection problem in a robust manner. In practice, it is difficul...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
Many financial optimization problems involve future values of security prices, interest rates and ex...
We investigate a robust version of the portfolio selection problem under a risk measure based on the...
Many optimization problems involve parameters which are not known in advance, but can only be foreca...
In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets all...
Robust optimization, one of the most popular topics in the field of optimization and control since t...
Many financial optimization problems involve future values of security prices, interest rates and ex...
Using optimization techniques in portfolio selection has attracted significant attention in financia...
In financial markets with high uncertainties, the trade-off between maximizing expected return and m...
In this paper we develop tight bounds on the expected values of several risk measures that are of in...
We consider the linear programming problem with uncertainty set described by p,w-norm. We suggest th...
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classi...
A robust optimization has emerged as a powerful tool for managing un- certainty in many optimization...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
This paper addresses the portfolio selection problem in a robust manner. In practice, it is difficul...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
Many financial optimization problems involve future values of security prices, interest rates and ex...
We investigate a robust version of the portfolio selection problem under a risk measure based on the...
Many optimization problems involve parameters which are not known in advance, but can only be foreca...
In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets all...
Robust optimization, one of the most popular topics in the field of optimization and control since t...
Many financial optimization problems involve future values of security prices, interest rates and ex...
Using optimization techniques in portfolio selection has attracted significant attention in financia...
In financial markets with high uncertainties, the trade-off between maximizing expected return and m...
In this paper we develop tight bounds on the expected values of several risk measures that are of in...
We consider the linear programming problem with uncertainty set described by p,w-norm. We suggest th...
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classi...
A robust optimization has emerged as a powerful tool for managing un- certainty in many optimization...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
This paper addresses the portfolio selection problem in a robust manner. In practice, it is difficul...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
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