Primal and dual robust counterparts of uncertain linear programs: an application to portfolio selection
Subject Areas : Mathematical Optimization
P Hanafizadeh
1
(
Assistant Professor, Department of Industrial Management, Allame Tabataba'ee University, Tehran, Iran
)
A Seifi
2
(
Associate Professor, Department of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran
)
K Ponnambalam
3
(
Professor, Department of Systems Design Engineering, University of Waterloo, Waterloo, Canada
)
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Abstract :