Recent advancements in robust optimization for investment management.
Jang Ho KimWoo Chang KimFrank J. FabozziPublished in: Ann. Oper. Res. (2018)
Keyphrases
- robust optimization
- portfolio management
- portfolio optimization
- portfolio selection
- chance constrained
- decision making
- stochastic programming
- mathematical programming
- risk measures
- semidefinite programming
- machine learning
- lot sizing
- chance constraints
- decision theory
- linear program
- random variables
- high dimensional
- multi agent systems
- cooperative