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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets.
Betina Fernandes
Alexandre Street
Davi Michel Valladão
Cristiano Fernandes
Published in:
Eur. J. Oper. Res. (2016)
Keyphrases
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optimization model
data driven
optimization process
robust optimization
convex sets
linear constraints
network flow
crew scheduling
convex hull
construction project
geometric constraints
parameter tuning
constraint programming
d objects
portfolio selection
portfolio optimization
constraint violations