Pınar, Mustafa Ç. - In: European Journal of Operational Research 237 (2014) 3, pp. 957-965
In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we derive a closed form...