Robust portfolio selection with a combined WCVaR and factor model

DOI10.3934/JIMO.2012.8.343MaRDI QIDQ2358869zbMATH OpenOpenAlexFDO

Authors 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 programmingmulti-factor modelportfolio selectionworst-case conditional value-at-risk

Mathematics Subject Classification ID

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

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Cites work

• Coherent measures of risk
• Common risk factors in the returns on stocks and bonds
• scientific article; zbMATH DE number 3445186 (Why is no real title available?)
• Robust Portfolio Selection Problems
• Robust portfolios: contributions from operations research and finance
• Robust solutions of uncertain linear programs
• 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

Cited in

(8)

• A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• Robust multi-period and multi-objective portfolio selection
• Regularized factor portfolio for cross-sectional multifactor models
• 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
• REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL

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