Cardinality-constrained distributionally robust portfolio optimization
Year of publication: |
2023
|
---|---|
Authors: | Kobayashi, Ken ; Takano, Yuichi ; Nakata, Kazuhide |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 309.2023, 3 (16.9.), p. 1173-1182
|
Subject: | Cutting-plane algorithm | Distributionally robust optimization | Matrix completion | Mixed-integer semidefinite optimization | Portfolio optimization | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Robustes Verfahren | Robust statistics |
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