Robustness in Mean-Variance Portfolio Optimization

In this paper, we discuss some of the concepts of robustness for uncertain multi-objective optimization problems. An important factor involved with multi objective optimization problems is uncertainty. The uncertainty may arise fromthe estimation of parameters in the model, error of computation, the...

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Bibliographic Details
Main Author: Shokouh Shahbeyk
Format: Article
Language:English
Published: Allameh Tabataba'i University Press 2022-12-01
Series:Mathematics and Modeling in Finance
Subjects:
Online Access:https://jmmf.atu.ac.ir/article_15193_03d3fdc6ef77c94e68cd7426f181b5db.pdf