Robust profit opportunities in risky financial portfolios

DOI10.1016/j.orl.2004.08.005zbMath1122.91043OpenAlexW2094182730MaRDI QIDQ2488227

Reha H. Tütüncü, Mustafa Çelebi Pinar

Publication date: 25 August 2005

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24031

zbMATH Keywords

ArbitrageSharpe ratioRobust optimizationFinancial securities

Mathematics Subject Classification ID

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Cites Work

• Applications of second-order cone programming
• Robust solutions of uncertain linear programs
• Adjustable robust solutions of uncertain linear programs
• Robust solutions of linear programming problems contaminated with uncertain data
• Robust Convex Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust Portfolio Selection Problems
• Unnamed Item

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