Log-robust portfolio management with parameter ambiguity
From MaRDI portal
Publication:1789607
DOI10.1007/s10287-017-0275-8zbMath1397.90214OpenAlexW2584122377MaRDI QIDQ1789607
Publication date: 10 October 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-017-0275-8
robust optimizationinner linear approximationlog-robust portfolio managementouter linear approximationweighted sum of exponentials
Nonconvex programming, global optimization (90C26) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
Related Items (4)
Determination and estimation of risk aversion coefficients ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Quantile-based optimal portfolio selection ⋮ Faster algorithms for min-max-min robustness for combinatorial problems with budgeted uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Short sales in log-robust portfolio management
- A log-robust optimization approach to portfolio management
- Parameter estimation with expected and residual-at-risk criteria
- Robust solutions of uncertain linear programs
- Computing efficient frontiers using estimated parameters
- Financial planning via multi-stage stochastic optimization.
- Robust solutions of linear programming problems contaminated with uncertain data
- A branch-and-cut method for 0-1 mixed convex programming
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust asset allocation
- Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
- Statistical decision functions which minimize the maximum risk
- Robust Convex Optimization
- Theory and Applications of Robust Optimization
- The Price of Robustness
- Short Term Financial Planning under Uncertainty
- Robust Solutions to Uncertain Semidefinite Programs
- A First Course in Optimization Theory
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Empirical properties of asset returns: stylized facts and statistical issues
- Robust Optimization of Large-Scale Systems
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Robust Portfolio Selection Problems
This page was built for publication: Log-robust portfolio management with parameter ambiguity
