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Regularized robust optimization: the optimal portfolio execution case.

Somayeh MoazeniThomas F. ColemanYuying Li
Published in: Comput. Optim. Appl. (2013)
Keyphrases
  • robust optimization
  • portfolio selection
  • optimal portfolio
  • stochastic programming
  • mathematical programming
  • portfolio optimization
  • cooperative
  • lot sizing
  • portfolio management
  • artificial intelligence