Stability advances in robust portfolio optimization under parallelepiped uncertainty - Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm (Central European journal of operations research, 2019)
Keywords: Business and Management; Computer simulation; Decision making; Linear programming; Markets; Mathematical models; Mathematical optimization; Methods; Operations research; Operations Research/Decision Theory; Optimization; Original Paper; Parameter uncertainty; Portfolio management; Risk analysis; Robustness (mathematics); Securities markets; Stability; Stock exchanges; Uncertainty; Norway; Robust optimization; Robustness and sensitivity analysis; Risk management; Robust conditional value-at-risk; Parallelepiped uncertainty