Robust optimization and portfolio selection: The cost of robustness.

Christine Gregory Ken Darby-Dowman Gautam Mitra

Published in: Eur. J. Oper. Res. (2011)

Keyphrases

robust optimization
portfolio selection
portfolio optimization
stochastic programming
mathematical programming
portfolio management
risk measures
lot sizing
semidefinite programming
minimum cost
cooperative
model selection
decision theory
optimal portfolio