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Robust mean variance optimization problem under Rényi divergence information

Authors :
Ke-wei Ding
Zhang-you Chen
Nan-jing Huang
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...

Details

ISSN :
10294945 and 02331934
Volume :
67
Database :
OpenAIRE
Journal :
Optimization
Accession number :
edsair.doi...........e2a73955f8b41531b7bffedf038ad004