Robust portfolio selection under norm uncertainty

DOI10.1186/S13660-016-1102-4MaRDI QIDQ300545zbMATHOpenAlexWikidataFDO

Authors Lei Wang, Xi Cheng

Publication date 28 June 2016

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

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

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

Cited in

(12)

• scientific article; zbMATH DE number 5847193 (Why is no real title available?)
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Robust portfolio selection under downside risk measures
• Robust linear programming with norm uncertainty
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Robust asset allocation strategies: relaxed versus classical robustness
• Robust Portfolio Selection Problems
• Good deals and benchmarks in robust portfolio selection
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• On the role of norm constraints in portfolio selection
• scientific article; zbMATH DE number 6264081 (Why is no real title available?)

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