Mean–variance portfolio optimization with parameter sensitivity control†

DOI10.1080/10556788.2016.1181758zbMath1355.90057OpenAlexW2403495482WikidataQ57445406 ScholiaQ57445406MaRDI QIDQ2829560

Li, Duan, Xueting Cui, Jie Sun, Shu-Shang Zhu

Publication date: 8 November 2016

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2016.1181758

zbMATH Keywords

branch-and-boundmean-variance modelsensitivity controlnon-convex quadratically constrained quadratic programming

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Portfolio theory (91G10)

Uses Software

• BARON

Cites Work

• A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization
• Computing efficient frontiers using estimated parameters
• Introduction to global optimization
• BARON: A general purpose global optimization software package
• Robust tracking error portfolio selection with worst-case downside risk measures
• Robust asset allocation
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Optimization Methods in Finance
• Portfolio selection with marginal risk control
• Robust Portfolio Selection Problems