Robust portfolio selection under norm uncertainty
Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some nu...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2016-06-01
|
| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-016-1102-4 |