Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty … (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval … data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood …
