Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10009010065
Persistent link: https://www.econbiz.de/10008927224
Robust optimization is a tractable alternative to stochastic programming particularly suited for problems in which parameter values are unknown, variable and their distributions are uncertain. We evaluate the cost of robustness for the robust counterpart to the maximum return portfolio...
Persistent link: https://www.econbiz.de/10008914571