no code implementations • 14 Aug 2019 • Mohammed Bilal Girach, Shashank Oberoi, Siddhartha P. Chakrabarty
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization.
no code implementations • 14 Aug 2019 • Shashank Oberoi, Mohammed Bilal Girach, Siddhartha P. Chakrabarty
The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model.