Robust Optimization Software
Published • Nov 27, 2015
Authors:,,
Woo Chang Kim
Jang Ho Kim
Frank J. Fabozzi
Abstract
This chapter discusses the three optimization tools that can help solve robust portfolio optimization: YALMIP, Robust Optimization Made Easy (ROME) and Advanced Integrated Multidimensional Modeling Software (AIMMS). YALMIP provides functions built precisely for robust optimization, and it also perfo...
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