Sandra Caçador Membro Pleno
owner
Robust optimization - application to the field of portfolio selection(2020)
Sandra Caçador
Orientação
Publicações
Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions. International Transactions in Operational Research, 28, 1296-1329.(2021)
A minimax regret portfolio model based on the investor's utility loss. Operational Research, in print.(2021)
Global minimum variance portfolios under uncertainty: a robust optimization approach. Journal of Global Optimization, 76, 267-293.(2020)
Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions. International Transactions in Operational Research, 19.(2019)