A robust Optimization Approach for Index tracking Problem.

Mohsen Gharakhani Forough Zarea Fazlelahi Seyed Jafar Sadjadi

Published in: J. Comput. Sci. (2014)

Keyphrases

robust optimization
chance constrained
stochastic programming
mathematical programming
portfolio optimization
particle filter
risk measures
linear programming
decision theory
learning algorithm
special case
lot sizing
semidefinite programming