Robust portfolio selection under norm uncertainty

DOI10.1186/S13660-016-1102-4zbMATH Open1414.91354OpenAlexW2468178021WikidataQ59467334 ScholiaQ59467334MaRDI QIDQ300545FDOQ300545

Authors Lei Wang, Xi Cheng 

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)

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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)

• Robust portfolio selection under downside risk measures
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• On the role of norm constraints in portfolio selection
• Title not available (Why is no real title available?)
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Robust Portfolio Selection Problems
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Good deals and benchmarks in robust portfolio selection
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Title not available (Why is no real title available?)
• Robust linear programming with norm uncertainty
• Robust asset allocation strategies: relaxed versus classical robustness

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