2 search results - page 1 / 1 » A note on robust 0-1 optimization with uncertain cost coeffi... |
4OR
2004
13 years 4 months ago
2004
Abstract. Based on the recent approach of Bertsimas and Sim (2004, 2003) to robust optimization in the presence of data uncertainty, we prove an easily computable and simple bound ...
COR
2008
13 years 4 months ago
2008
We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficie...