Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set

DOI10.1016/J.CAM.2012.03.023zbMath1239.91152OpenAlexW2070460421MaRDI QIDQ425328

Cheng-Xian Xu, Ai-Fan Ling

Publication date: 8 June 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.023

zbMATH Keywords

linear matrix inequalityrobust optimizationrobust portfolioprobability constraint

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (9)

Recent advancements in robust optimization for investment management ⋮ Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity ⋮ Developing a multi-period robust optimization model considering American style options ⋮ A closed-form solution for robust portfolio selection with worst-case CVaR risk measure ⋮ A numerical study for robust active portfolio management with worst-case downside risk measure ⋮ Robust optimization approximation for ambiguous P-model and its application ⋮ Robust tracking error portfolio selection with worst-case downside risk measures ⋮ Robust portfolio asset allocation and risk measures ⋮ Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

Uses Software

• SeDuMi

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Robust portfolio optimization with derivative insurance guarantees
• A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Robust portfolios: contributions from operations research and finance
• Robust solutions of uncertain linear programs
• An interior-point method for a class of saddle-point problems
• Robust asset allocation
• Robust Convex Optimization
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Robust One-Period Option Hedging
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust portfolio selection under downside risk measures
• Matrix Analysis
• Linear Matrix Inequalities in System and Control Theory
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Robust Portfolio Selection Problems

This page was built for publication: Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set