Robust optimization approaches for portfolio selection: a comparative analysis
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-021-04177-y.pdf
Reference66 articles.
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3. Angelelli, E., Mansini, R., & Speranza, M. G. (2008). A comparison of mad and cvar models with real features. Journal of Banking & Finance, 32(7), 1188–1197.
4. Aouni, B., Doumpos, M., Pérez-Gladish, B., & Steuer, R. E. (2018). On the increasing importance of multiple criteria decision aid methods for portfolio selection. Journal of the Operational Research Society, 69(10), 1525–1542.
5. Arenas Parra, M., Bilbao Terol, A., & Rodríguez Uría, M. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133(2), 287–297.
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