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Laurent El Ghaoui
Information about the author Laurent El Ghaoui will soon be added to the site.
Found
2 papers
in total
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Robust control of Markov decision processes with uncertain transition matrices
2005
Optimal solutions to Markov decision problems may be very sensitive with respect to...
Worst-case value-at-risk and robust portfolio optimization: a conic programming approach
2003
Classical formulations of the portfolio optimization problem, such as mean-variance or...
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