The convergence of set-valued scenario approach for downside risk minimization

DOI10.1007/S11424-016-5028-1zbMATH Open1414.91342OpenAlexW2460078389MaRDI QIDQ328216FDOQ328216

Authors: Xiaodong Ji, Shushang Zhu 

Publication date: 20 October 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-5028-1

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zbMATH Keywords

convergencedownside riskportfolio risk managementset-valued scenarios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Some remarks on the value-at-risk and the conditional value-at-risk
• Worst-case conditional value-at-risk with application to robust portfolio management
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust Portfolio Selection Problems
• Robust portfolio selection under downside risk measures
• Robust portfolios: contributions from operations research and finance
• On the rate of convergence of optimal solutions of Monte Carlo approximations of stochastic programs
• Quantitative stability in stochastic programming
• Robust portfolio selection using linear-matrix inequalities
• An interior-point method for a class of saddle-point problems
• Robust portfolio selection based on a joint ellipsoidal uncertainty set

Cited In (2)

• A nonlinear interval portfolio selection model and its application in banks
• Fuzzy views on Black-Litterman portfolio selection model

Uses Software

• SeDuMi
• RiskMetrics

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