The robust-optimization tag has no wiki summary.
4
votes
1answer
345 views
Robust Bayesian portfolio optimization in matlab?
I am working through this paper.
I want to implement the robust Bayesian optimization (see pages 6 onward) in Matlab using fmincon.
Here is a brief overview of my problem:
Let $\alpha$ be the ...
5
votes
1answer
238 views
Robust-Bayesian optimization in Markowitz framework
Suppose we are in the mean-variance optimization setting with a vector of returns $\alpha$ and a vector of portfolio weights $\omega$.
In a robust setting, the returns are assumed to lie in some ...
