Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints

MaRDI QIDQ2885873zbMATH OpenFDO

Authors Jianglin Lü, Ai-Fan Ling

Publication date 1 June 2012

Published in Control and Decision (Search for Journal in Brave)

zbMATH Keywords

linear matrix inequalityportfolio selectionrobust optimizationprobability constraintellipsoidal uncertainty set

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(9)

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• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
• A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
• Robust-based interactive portfolio selection problems with an uncertainty set of returns
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• Robust portfolio selection under norm uncertainty

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