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math.OC2023
Feasibility Conditions of Robust Portfolio Solutions under Single and Combined Uncertainties
Pulak Swain, Akshay Kumar Ojha
In this paper, we derive the feasibility conditions for the robust counterparts of the uncertain Markowitz model. Our study is based on ellipsoidal, box, polyhedral uncertainty set…
math.OC2023
Robust Portfolio Optimization under Ambiguous Chance Constraints
Pulak Swain, Akshay Kumar Ojha
In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in…
math.OC2023★ 1 cited
Chance Constrained Robust Portfolio Optimization when the Perturbations Follow Normal and Exponential Distributions
Pulak Swain, Akshay Kumar Ojha
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the…