Robust ranking and portfolio optimization

DOI10.1016/j.ejor.2012.03.023zbMath1253.91169OpenAlexW2083846390MaRDI QIDQ1926870

Andrew W. Lo, Tri-Dung Nguyen

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

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

zbMATH Keywords

rankingmixed integer programmingportfolio optimizationnetwork flowsuncertainty modelling

Mathematics Subject Classification ID

Mixed integer programming (90C11) Minimax problems in mathematical programming (90C47) Management decision making, including multiple objectives (90B50) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Recent advancements in robust optimization for investment management ⋮ Distributionally robust single machine scheduling with risk aversion ⋮ Recent advances in robust optimization: an overview ⋮ Exploiting the Structure of Two-Stage Robust Optimization Models with Exponential Scenarios ⋮ A Lagrangian dual method for two-stage robust optimization with binary uncertainties

Cites Work

• Solving nonlinear portfolio optimization problems with the primal-dual interior point method
• Robust optimization - a comprehensive survey
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• TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• A Robust Optimization Approach to Inventory Theory
• The Price of Robustness
• Common risk factors in the returns on stocks and bonds
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Robust Portfolio Selection Problems
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