Adjusted robust mean-value-at-risk model: less conservative robust portfolios

DOI10.1007/s11081-016-9340-3zbMath1371.91160OpenAlexW2546564415MaRDI QIDQ2401246

Farshid Mehrdoust, Maziar Salahi, Somayyeh Lotfi

Publication date: 8 September 2017

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-016-9340-3

zbMATH Keywords

robust optimizationestimation errorconservatismsolution robustnessmean-value-at-riskstructure robustness

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Semidefinite programming (90C22) Portfolio theory (91G10)

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Uses Software

• CVX

Cites Work

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