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Parameter-free robust optimization for the maximum-Sharpe portfolio problem.
Deepayan Chakrabarti
Published in:
Eur. J. Oper. Res. (2021)
Keyphrases
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parameter free
robust optimization
portfolio optimization
portfolio selection
chance constrained
portfolio management
mathematical programming
categorical data
stochastic programming
risk measures
outlier detection
fully automatic
lot sizing
data mining
decision theory
machine learning