References
The presented problem is inspired by the Single-Period Portfolio selection problem described in [Bng09].
Applications of robust optimization to portfolio optimizations models date back to as early as 2000 [Bmn00].
© 2001-2019 Fair Isaac Corporation. All rights reserved. This documentation is the property of Fair Isaac Corporation (“FICO”). Receipt or possession of this documentation does not convey rights to disclose, reproduce, make derivative works, use, or allow others to use it except solely for internal evaluation purposes to determine whether to purchase a license to the software described in this documentation, or as otherwise set forth in a written software license agreement between you and FICO (or a FICO affiliate). Use of this documentation and the software described in it must conform strictly to the foregoing permitted uses, and no other use is permitted.