Robustness-based portfolio optimization under epistemic uncertainty
Abstract In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using tw...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University
2018-10-01
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| Series: | Journal of Industrial Engineering International |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1007/s40092-018-0292-4 |