Robust portfolio selection with a combined WCVaR and factor model

DOI10.3934/jimo.2012.8.343zbMath1364.90179OpenAlexW2315799257MaRDI QIDQ2358869

Ke Ruan, Masao Fukushima

Publication date: 16 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2012.8.343

zbMATH Keywords

linear programmingportfolio selectionworst-case conditional value-at-riskmulti-factor model

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Related Items (4)

Sparse and robust mean-variance portfolio optimization problems ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Recent developments in robust portfolios with a worst-case approach ⋮ Robust multi-period and multi-objective portfolio selection

Cites Work

• Unnamed Item
• Robust portfolios: contributions from operations research and finance
• Robust solutions of uncertain linear programs
• Coherent Measures of Risk
• 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
• Common risk factors in the returns on stocks and bonds
• Robust Portfolio Selection Problems

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