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Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach
Zhu, Shushang - 2013
uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …
Persistent link: https://www.econbiz.de/10013076696
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Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Koumou, Gilles Boevi - In: Quantitative finance 24 (2024) 6, pp. 719-733
Persistent link: https://www.econbiz.de/10015050790
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Robust portfolio optimization and management
Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, … - 2007
Persistent link: https://www.econbiz.de/10003555153
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Robust newsvendor problem with autoregressive demand
Carrizosa, Emilio; Olivares-Nadal, Alba V.; … - In: Computers & operations research : and their … 68 (2016), pp. 123-133
Persistent link: https://www.econbiz.de/10011442377
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Robust Epidemiological Prediction and Optimization
Fu, Chenyi; Sim, Melvyn; Zhou, Minglong - 2021
The COVID-19 pandemic has brought many countries to their knees, and the urgency to return to normalcy has never been greater. Epidemiological models, such as the SEIR compartmental model, are indispensable tools for, among other things, predicting how pandemic may spread over time and how...
Persistent link: https://www.econbiz.de/10013218499
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Bayesian interval robust optimization for sustainable energy system planning in Qiqihar City, China
Dong, Cong; Huang, Guo H.; Cai, Yanpeng; Cheng, Guanhui; … - In: Energy economics 60 (2016), pp. 357-376
Persistent link: https://www.econbiz.de/10011700360
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Robust efficiency of airline resource schedules
Ionescu, Lucian - 2018
Persistent link: https://www.econbiz.de/10011868347
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A distributionally robust chance-constrained kernel-free quadratic surface support vector machine
Lin, Fengming; Fang, Shu-Cherng; Fang, Xiaolei; Gao, Zheming - In: European journal of operational research : EJOR 316 (2024) 1, pp. 46-60
Persistent link: https://www.econbiz.de/10014566312
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Optimal and robust combination of forecasts via constrained optimization and shrinkage
Roccazzella, Francesco; Gambetti, Paolo; Vrins, Frédéric - In: International journal of forecasting 38 (2022) 1, pp. 97-116
Persistent link: https://www.econbiz.de/10013347741
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Distributionally robust inventory control when demand is a martingale
Xin, Linwei; Goldberg, David Alan - In: Mathematics of operations research 47 (2022) 3, pp. 2387-2414
Persistent link: https://www.econbiz.de/10013375068