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Optimization
A Journal of Mathematical Programming and Operations Research
Volume 67, 2018 - Issue 2
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Original Articles

Robust mean variance optimization problem under Rényi divergence information

Ke-wei DingSchool of Computer Science and Technology, Southwest Minzu University, Chengdu, P.R. China.;Department of Mathematics, Sichuan University, Chengdu, P.R. China.View further author information
,
Zhang-you ChenSchool of Mathematics, Southwest Jiaotong University, Chengdu, P.R. China.View further author information
&
Nan-jing HuangDepartment of Mathematics, Sichuan University, Chengdu, P.R. China.Correspondence[email protected]
[email protected]
View further author information
Pages 287-307 | Received 27 Apr 2017, Accepted 13 Oct 2017, Published online: 27 Oct 2017

Citations (6)

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Ming-hui Wang & Nan-jing Huang. (2022) Robust optimal R&D investment under technical uncertainty in a regime-switching environment. Optimization 71:6, pages 1557-1578.
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Articles from other publishers (5)

Alireza Ghahtarani, Ahmed Saif & Alireza Ghasemi. (2022) Robust portfolio selection problems: a comprehensive review. Operational Research 22:4, pages 3203-3264.
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Huyên Pham, Xiaoli Wei & Chao Zhou. (2021) Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach. Mathematical Finance.
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Juan Li, Wenqiang Li & Gechun Liang. (2021) A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. SIAM Journal on Financial Mathematics 12:3, pages 867-897.
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Panos Xidonas, Ralph Steuer & Christis Hassapis. (2020) Robust portfolio optimization: a categorized bibliographic review. Annals of Operations Research 292:1, pages 533-552.
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Alois Pichler & Ruben Schlotter. (2020) Entropy based risk measures. European Journal of Operational Research 285:1, pages 223-236.
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