Robust portfolio selection under norm uncertainty

DOI10.1186/S13660-016-1102-4zbMath1414.91354OpenAlexW2468178021WikidataQ59467334 ScholiaQ59467334MaRDI QIDQ300545

Xi Cheng, Lei Wang

Publication date: 28 June 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-016-1102-4

zbMATH Keywords

portfolio selection\((p,w)\)-normlinear optimization problemuncertainty set

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• Robust linear optimization under general norms.
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Robust solutions of uncertain linear programs
• Robust solutions of linear programming problems contaminated with uncertain data
• Robust linear programming with norm uncertainty
• Robust asset allocation
• Robust Convex Optimization
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• The Price of Robustness
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Robust Portfolio Selection Problems

This page was built for publication: Robust portfolio selection under norm uncertainty