"An adaptive robust portfolio optimization model with loss constraints ..."

Betina Fernandes et al. (2016)

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DOI: 10.1016/J.EJOR.2016.05.038

access: closed

type: Journal Article

metadata version: 2021-10-14

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Betina Fernandes, Alexandre Street, Davi Michel Valladão, Cristiano Fernandes:
An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets. Eur. J. Oper. Res. 255(3): 961-970 (2016)

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