Robustness-based portfolio optimization under epistemic uncertainty
Robustness-based portfolio optimization under epistemic uncertainty is a scholarly work, published in 2018 in ''Journal of Industrial Engineering International''. The main subjects of the publication include portfolio, water resource, probabilistic logic, Uncertain data, optimization problem, Bounding overwatch, biological robustness, modern portfolio theory, uncertainty quantification, mathematical optimization, robust optimization, portfolio optimization, mathematics, and computer science. The paper first proposes a nested robustness-based portfolio optimization formulation using the moment bounding approach-based representation of epistemic uncertainty.