Xu, Xiaoning; He, Feng; Chen, Rong; Zhang, Qingzhi - In: Journal of the Operational Research Society 66 (2015) 6, pp. 885-893
Estimation errors or uncertainities in expected return and risk measures create difficulties for portfolio optimization. The literature deals with the uncertainty using stochastic, fuzzy or probability programming. This paper proposes a new approach to treating uncertainty. By assuming that the...