Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. Robust empirical optimization is almost the same as mean-variance optimization. Oper. Res. Lett., 46(4):448-452, 2018. [doi]
@article{GotohKL18,
title = {Robust empirical optimization is almost the same as mean-variance optimization},
author = {Jun-ya Gotoh and Michael Jong Kim and Andrew E. B. Lim},
year = {2018},
doi = {10.1016/j.orl.2018.05.005},
url = {https://doi.org/10.1016/j.orl.2018.05.005},
researchr = {https://researchr.org/publication/GotohKL18},
cites = {0},
citedby = {0},
journal = {Oper. Res. Lett.},
volume = {46},
number = {4},
pages = {448-452},
}