Open AccessA new approach for worst-case regret portfolio optimization problem
Author(s) -
Ying Ji,
Shaojian Qu,
Yeming Dai
Publication year - 2019
Publication title -
discrete and continuous dynamical systems. series 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) - regret , portfolio optimization , mathematical optimization , portfolio , optimization problem , diversification (marketing strategy) , duality (order theory) , modern portfolio theory , linear programming , mathematics , computer science , economics , financial economics , statistics , business , discrete mathematics , marketing