Robust scenario optimization based on downside-risk measure for multi-period portfolio selection

DOI10.1007/s00291-005-0023-2zbMath1126.91032OpenAlexW2010610835MaRDI QIDQ2460070

Mustafa Çelebi Pinar

Publication date: 14 November 2007

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/38110

zbMATH Keywords

RiskFinanceStochastic programmingDiscrete scenario treeDownside riskMulti-period portfolio selection

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Cites Work

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• Multi-stage stochastic linear programs for portfolio optimization
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• On robust optimization of two-stage systems
• Duality and martingales: a stochastic programming perspective on contingent claims
• Robust Optimization for Power Systems Capacity Expansion under Uncertainty
• Robust Optimization of Large-Scale Systems

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