Back to Search
Start Over
Robust mean variance optimization problem under Rényi divergence information
- Source :
- Optimization. 67:287-307
- Publication Year :
- 2017
- Publisher :
- Informa UK Limited, 2017.
-
Abstract
- In this paper, we consider the robust mean variance optimization problem where the probability distribution of assets’ returns is multivariate normal and the uncertain mean and covariance are contr...
- Subjects :
- Mathematical optimization
050208 finance
021103 operations research
Control and Optimization
Optimization problem
Applied Mathematics
05 social sciences
0211 other engineering and technologies
Robust optimization
Multivariate normal distribution
02 engineering and technology
Management Science and Operations Research
Covariance
0502 economics and business
Statistics
Statistics::Methodology
Probability distribution
Mean variance
Divergence (statistics)
Mathematics
Subjects
Details
- ISSN :
- 10294945 and 02331934
- Volume :
- 67
- Database :
- OpenAIRE
- Journal :
- Optimization
- Accession number :
- edsair.doi...........e2a73955f8b41531b7bffedf038ad004