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Published in 2020 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2019003
Abstract: A discrete variant of a multicriteria investment portfolio optimization problem with Savage's risk criteria is considered. One of the three problem parameter spaces is endowed with Holder's norm, and the other two are endowed with…
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Keywords:
case study;
problem;
risk criteria;
savage risk ... See more keywords