Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Man Yiu Tsang"'
Autor:
Man Yiu Tsang, Karmel S. Shehadeh
Publikováno v:
European Journal of Operational Research. 307:48-63
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00dc3e2b273ba6ddc7046961045a2c43
https://doi.org/10.1016/j.ejor.2022.09.020
https://doi.org/10.1016/j.ejor.2022.09.020
Publikováno v:
Operations Research Letters. 51:92-98
We propose a new inexact column-and-constraint generation (i-C&CG) method to solve two-stage robust optimization problems. The method allows solutions to the master problems to be inexact, which is desirable when solving large-scale and/or challengin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e8298145e2ac82fa96bfaf40a85a23e
https://doi.org/10.1016/j.orl.2022.12.002
https://doi.org/10.1016/j.orl.2022.12.002
Publikováno v:
Applied Mathematics & Optimization. 86
This paper proposes a distributionally robust multi-period portfolio model with ambiguity on asset correlations with fixed individual asset return mean and variance. The correlation matrix bounds can be quantified via corresponding confidence interva
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb3cd56fdb71581de93feb055fef884d
https://doi.org/10.1007/s00245-022-09856-1
https://doi.org/10.1007/s00245-022-09856-1