Gen Yu

The Chinese University of Hong Kong, Shenzhen

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Multi-portfolio Optimization: A Fairness-aware Target-oriented Model

Number of pages: 41 Posted: 03 Dec 2020
The Chinese University of Hong Kong, Shenzhen, The Chinese University of Hong Kong, Shenzhen, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Shenzhen Research Institute of Big Data
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Abstract:

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multi-portfolio; target; satisficing; distributional robust optimization; cost sharing