On solving robust log-optimal portfolio : a supporting hyperplane approximation approach

Chung-Han Hsieh

Year of publication:	2024
Authors:	Hsieh, Chung-Han
Published in:	European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 313.2024, 3 (16.3.), p. 1129-1139
Subject:	Approximation theory \| Distributionally robust optimization \| Kelly criterion \| Portfolio optimization \| Robust linear programming \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Robustes Verfahren \| Robust statistics \| Theorie \| Theory

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