Open AccessA new approach for worst-case regret portfolio optimization problem
Author(s) -
Ying Ji,
Shaojian Qu,
Yeming Dai
Publication year - 2018
Publication title -
discrete and continuous dynamical systems - s
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.481
H-Index - 34
eISSN - 1937-1632
pISSN - 1937-1179
DOI - 10.3934/dcdss.2019050
Subject(s) - portfolio optimization , regret , mathematical optimization , portfolio , optimization problem , duality (order theory) , diversification (marketing strategy) , linear programming , modern portfolio theory , mathematics , computer science , economics , financial economics , statistics , business , discrete mathematics , marketing
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