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Robust portfolio optimization: a conic programming approach.

Kai YePanos ParpasBerç Rustem
Published in: Comput. Optim. Appl. (2012)
Keyphrases
  • portfolio optimization
  • conic programming
  • robust optimization
  • portfolio selection
  • problems involving
  • portfolio management
  • stock market
  • stock price
  • stock exchange
  • data mining
  • feature space
  • cost function