A conic programming approach for robust portfolio optimization problems

zbMATH Open1240.91141MaRDI QIDQ3170980FDOQ3170980

Hongjie Zhang, Xuanyu Shu, Yanqin Bai

Publication date: 29 September 2011

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zbMATH Keywords

linear programmingtransaction costssecond-order cone programmingrobust portfolio optimization

Mathematics Subject Classification ID

Convex programming (90C25) Linear programming (90C05) Portfolio theory (91G10)

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• Title not available (Why is that?)
• Robust portfolio optimization: a conic programming approach
• Title not available (Why is that?)
• Robust multiperiod portfolio management in the presence of transaction costs
• Robust multiobjective optimization \& applications in portfolio optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

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