The convergence of set-valued scenario approach for downside risk minimization
From MaRDI portal
Publication:328216
DOI10.1007/s11424-016-5028-1zbMath1414.91342OpenAlexW2460078389MaRDI QIDQ328216
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
Related Items
Fuzzy views on Black-Litterman portfolio selection model ⋮ A nonlinear interval portfolio selection model and its application in banks
Uses Software
Cites Work
- Unnamed Item
- Robust portfolios: contributions from operations research and finance
- Quantitative stability in stochastic programming
- An interior-point method for a class of saddle-point problems
- On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- 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 under downside risk measures
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- Robust Portfolio Selection Problems
- Robust portfolio selection using linear-matrix inequalities
