New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem
In financial optimization problem, the optimal portfolios usually depend heavily on the distributions of uncertain return rates. When the distributional information about uncertain return rates is partially available, it is important for investors to find a robust solution for immunization against t...
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| Main Authors: | NingNing Du, Yan-Kui Liu, Ying Liu |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2019-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/6903679 |
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