Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn. Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case. Management Science, 58(9):1732-1746, 2012. [doi]
@article{LimSV12,
title = {Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case},
author = {Andrew E. B. Lim and J. George Shanthikumar and Gah-Yi Vahn},
year = {2012},
doi = {10.1287/mnsc.1120.1518},
url = {http://dx.doi.org/10.1287/mnsc.1120.1518},
researchr = {https://researchr.org/publication/LimSV12},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {58},
number = {9},
pages = {1732-1746},
}