Robust empirical optimization is almost the same as...

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Operations Research Letters 2018 / 6

Robust empirical optimization is almost the same as mean–variance optimization

Gotoh, Jun-ya, Kim, Michael Jong, Lim, Andrew E.B.
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Language:
english
Journal:
Operations Research Letters
DOI:
10.1016/j.orl.2018.05.005
Date:
June, 2018
File:
PDF, 473 KB
english, 2018
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