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On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
investment analysis mean-variance analysis parameter uncertainty interval estimation test theory.
2012/9/14
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-var...
Making Robust Decisions in Discrete Optimization Problems as a Game against Nature
Discrete optimization minmax minmax regret game against nature
2009/7/17
In this paper a discrete optimization problem under uncertainty is discussed. Solving such a problem can be seen as a game against nature. In order to choose a solution, the minmax and minmax regret ...