Cardinality-constrained distributionally robust portfolio optimization

Ken Kobayashi, Yuichi Takano, Kazuhide Nakata

Year of publication:	2023
Authors:	Kobayashi, Ken ; Takano, Yuichi ; Nakata, Kazuhide
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 309.2023, 3 (16.9.), p. 1173-1182
Subject:	Cutting-plane algorithm \| Distributionally robust optimization \| Matrix completion \| Mixed-integer semidefinite optimization \| Portfolio optimization \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Theorie \| Theory \| Robustes Verfahren \| Robust statistics \| Algorithmus \| Algorithm \| Statistische Verteilung \| Statistical distribution

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