Robust portfolio selection under norm uncertainty
Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some nu...
Main Authors: | Lei Wang, Xi Cheng |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2016-06-01
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Series: | Journal of Inequalities and Applications |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s13660-016-1102-4 |
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