A robust mean absolute deviation model for portfolio optimization

Portfolio Selection

Harry M. Markowitz · The Journal of Finance · 1952 · 4.5K citations

The Price of Robustness

Dimitris Bertsimas, Melvyn Sim · Operations Research · 2004 · 4.4K citations

Natural Sciences, Mathematics, Optimization +15

Robust Convex Optimization

Aharon Ben‐Tal, Arkadi Nemirovski · Mathematics of Operations Research · 1998 · 2.6K citations

Natural Sciences, Computer Science, Mathematics +14

Robust discrete optimization and network flows

Dimitris Bertsimas, Melvyn Sim · Mathematical Programming · 2003 · 1.8K citations

Natural Sciences, Computer Science, Mathematics +14

Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming

A. L. Soyster · Operations Research · 1973 · 1.8K citations

Natural Sciences, Mathematics, Design Optimization +13