Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty

DOI10.1007/s00245-022-09856-1zbMath1489.91240MaRDI QIDQ2152585

Tony Sit, Hoi Ying Wong, Man Yiu Tsang

Publication date: 8 July 2022

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

Full work available at URL: https://doi.org/10.1007/s00245-022-09856-1

zbMATH Keywords

investment analysis; portfolio optimization; SDDP; correlation uncertainty

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

90C15: Stochastic programming

91G10: Portfolio theory

Uses Software

• CVXPortfolio
• RSOME