Sensitivity to uncertainty and scalarization in robust multiobjective optimization: an overview with application to mean-variance portfolio optimization

نویسندگان

چکیده

Abstract Robust optimization is proving to be a fruitful tool study problems with uncertain data. In this paper we deal the minmax aproach robust multiobjective optimization. We survey main features of problem particular reference results concerning linear scalarization and sensitivity optimal values respect changes in uncertainty set. Furthermore prove solutions Finally apply presented mean-variance portfolio

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ژورنال

عنوان ژورنال: Annals of Operations Research

سال: 2022

ISSN: ['1572-9338', '0254-5330']

DOI: https://doi.org/10.1007/s10479-022-04951-6