Hi,
I solve the robust maximum expected return problem with different formulation but get different results. How that can happen? I have sent the pdf file of all details to cvx email, but got no reply yet.
thanks
Hi,
I solve the robust maximum expected return problem with different formulation but get different results. How that can happen? I have sent the pdf file of all details to cvx email, but got no reply yet.
thanks
Perhaps you could edit your question and post the details here, with detailed output, preferably with reproducible (self-contained) code. Are you getting different values of optimum objective value, or just different argmax (optimal argument values) with same optimum objective value?
As the documentation states, I do not offer email-based support. I have too many users to do that. This is the proper forum.