Portfolio management with robustness in both prediction and decision: a mixture model based learning approach

DOI10.1016/j.jedc.2014.08.015zbMath1402.91744OpenAlexW2068697226WikidataQ57445416 ScholiaQ57445416MaRDI QIDQ1991930

Minjie Fan, Shu-Shang Zhu, Li, Duan

Publication date: 2 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.08.015

zbMATH Keywords

Bayesian learningrobust optimizationportfolio selectionmixture modelconditional value-at-risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

Data-driven robust chance constrained problems: a mixture model approach ⋮ Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set ⋮ Stock market prediction and portfolio selection models: a survey ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation ⋮ A sparse chance constrained portfolio selection model with multiple constraints ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR

Uses Software

• SeDuMi
• RiskMetrics

Cites Work

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