Robust empirical optimization is almost the same as mean-variance optimization
Jun-ya Gotoh, Michael Jong Kim, Andrew E.B. Lim
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Gotoh, Jun-ya ; Kim, Michael Jong ; Lim, Andrew E. B. |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 46.2018, 4, p. 448-452
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| Subject: | Robust empirical optimization | Mean-variance optimization | Data-driven optimization | Phi-divergence | Regularization | Bias-variance trade-off | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2018.05.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011916169