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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| Format: | Article |
| Language: | English |
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Allameh Tabataba'i University Press
2022-12-01
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| Series: | Mathematics and Modeling in Finance |
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| Online Access: | https://jmmf.atu.ac.ir/article_15193_03d3fdc6ef77c94e68cd7426f181b5db.pdf |