Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints

zbMATH Open1249.91117MaRDI QIDQ2885873FDOQ2885873

Authors: Jianglin Lü, Ai-Fan Ling 

Publication date: 1 June 2012

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

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zbMATH Keywords

linear matrix inequalityportfolio selectionrobust optimizationprobability constraintellipsoidal uncertainty set

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (9)

• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
• Title not available (Why is that?)
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Robust portfolio selection under norm uncertainty
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Robust-based interactive portfolio selection problems with an uncertainty set of returns

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