"Robust empirical optimization is almost the same as mean-variance ..."

Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim (2018)

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DOI: 10.1016/J.ORL.2018.05.005

access: open

type: Journal Article

metadata version: 2020-01-31

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Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim:
Robust empirical optimization is almost the same as mean-variance optimization. Oper. Res. Lett. 46(4): 448-452 (2018)

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