A successive SDP-NSDP approach to a robust optimization problem in finance
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چکیده
منابع مشابه
A successive SDP-NSDP approach to a robust optimization problem in finance
The robustification of trading strategies is of particular interest in financial market applications. In this paper we robustify a portfolio strategy recently introduced in the literature against model errors in the sense of a worst case design. As it turns out, the resulting optimization problem can be solved by a sequence of linear and nonlinear semidefinite programs (SDP/NSDP), where the non...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2008
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-007-9163-4