Global minimum variance portfolios under uncertainty: a robust optimization approach.
Sandra CaçadorJoana Matos DiasPedro GodinhoPublished in: J. Glob. Optim. (2020)
Keyphrases
- robust optimization
- global minimum
- portfolio selection
- portfolio optimization
- cost function
- energy function
- chance constrained
- energy minimization
- mathematical programming
- simulated annealing
- global optimum
- robust counterpart
- stochastic programming
- global minima
- risk measures
- lot sizing
- decision theory
- graph cuts
- neural network
- computer vision
- semidefinite programming
- energy functional
- graphical models
- genetic algorithm