Robust portfolio selection based on asymmetric measures of variability of stock returns (Q843134): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: reviewed by (P1447): Item:Q588269
Normalize DOI.
 
(5 intermediate revisions by 5 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.cam.2009.06.010 / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Leszek S. Zaremba / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.cam.2009.06.010 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1995503290 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Convex Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Solutions to Least-Squares Problems with Uncertain Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Selection Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: An interior-point method for a class of saddle-point problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust solutions of linear programming problems contaminated with uncertain data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust asset allocation / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.CAM.2009.06.010 / rank
 
Normal rank

Latest revision as of 05:00, 10 December 2024

scientific article
Language Label Description Also known as
English
Robust portfolio selection based on asymmetric measures of variability of stock returns
scientific article

    Statements

    Robust portfolio selection based on asymmetric measures of variability of stock returns (English)
    0 references
    0 references
    0 references
    29 September 2009
    0 references
    Since asset expected returns and their covariances are often measured with errors, and because of this the resulting solutions to the Markowitz model of portfolio selection are very sensitive to these measurement perturbations, there has been a need to device a new approach which will take into account the estimation errors. This paper proposes a new uncertainty set with randomly fluctuating bounds \(\xi_i= [u_i- \theta^1_i, u_i+\theta^2_i]\) instead of earlier studied ``unknown-but-bounded'' uncertain sets. This new form of the uncertainty set is able to capture asymmetric downside and upside deviations of real world data. The authors apply their interval chance-constrained programming to find robust solution to the mean-variance portfolio selection. A hybrid-intelligent algorithm is employed for this purpose. The numerical experiments suggest that the worst-case behavior of portfolios can be improved using the proposed methodology. The robustness is achieved at low cost.
    0 references
    robust portfolio selection
    0 references
    interval random uncertainty set
    0 references
    chance-constrained programming
    0 references

    Identifiers