Robust trade-off portfolio selection
The authors analyze the trade-off between two robust criteria in mean-variance portfolio optimization when there is parameter uncertainty: maximin utility and minimax regret. This approach is motivated by the observation that the portfolio chosen by either criterion may degenerate to one of the most uninformative portfolios. More precisely, while optimizing for the worst-case utility may yield an overly pessimistic portfolio, optimizing for the worst-case regret may result in a complete loss of robustness; it is demonstrated in the paper. Thus, seeking a trade-off between the two portfolios is sometimes necessary, not only desirable. On this way, it is proved that, under a widely used ellipsoidal uncertainty model, the entire optimal trade-off curve can be found via solving a series of semidefinite programs (SDPs). Then the model is extended to handle the union of finitely many ellipsoids, and it is shown that trade-off analysis under this quite general uncertainty model also reduces to a series of SDPs. For more general uncertainties, an iterative algorithm is proposed based on the cutting-set method.
- Robust portfolio optimization
- Robust portfolio optimization
- Portfolio selection with robust estimation
- Robust portfolio choice and indifference valuation
- Robust Portfolio Selection Problems
- Robust multi-period and multi-objective portfolio selection
- Robust portfolio selection for index tracking
- Robust portfolio selection under downside risk measures
- Robust reward–risk ratio portfolio optimization
- Robust portfolio selection problems including uncertainty factors
- A soft robust model for optimization under ambiguity
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Applications of second-order cone programming
- Computation of Minimum-Volume Covering Ellipsoids
- Cutting-set methods for robust convex optimization with pessimizing oracles
- Determinant Maximization with Linear Matrix Inequality Constraints
- Factor-based robust index tracking
- Graph implementations for nonsmooth convex programs
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 854585 (Why is no real title available?)
- scientific article; zbMATH DE number 854587 (Why is no real title available?)
- Linear Matrix Inequalities in System and Control Theory
- On the implementation and usage of SDPT3 -- a Matlab software package for semidefinite-quadratic-linear programming, version 4.0
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Recent developments in robust portfolios with a worst-case approach
- Robust asset allocation
- Robust asset allocation with benchmarked objectives
- Robust min-max portfolio strategies for rival forecast and risk scenarios
- Robust optimization
- Robust portfolio control with stochastic factor dynamics
- Robust portfolio optimisation with multiple experts
- Robust Portfolio Selection Problems
- Robust risk measurement and model risk
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Second-order cone programming
- Semi-Infinite Programming: Theory, Methods, and Applications
- The jackknife and the bootstrap for general stationary observations
- The Stationary Bootstrap
- Theory and applications of robust optimization
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust portfolio decisions for financial institutions
- Robust multiobjective portfolio optimization: A minimax regret approach
- Portfolio selection in a data-rich environment
- Large scale portfolio selection with synergies
- Robust asset allocation
- An optimal trade-off model for portfolio selection with sensitivity of parameters
- A successive SDP-NSDP approach to a robust optimization problem in finance
- Good deals and benchmarks in robust portfolio selection
- Robust Preferences and Robust Portfolio Choice
- Robust portfolio selection under downside risk measures
- Relative robust portfolio optimization with benchmark regret
- Selection of balanced portfolios to track the main properties of a large market
- scientific article; zbMATH DE number 7174162 (Why is no real title available?)
- scientific article; zbMATH DE number 970565 (Why is no real title available?)
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
This page was built for publication: Robust trade-off portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2218875)
