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

DOI10.1007/S11424-016-5028-1MaRDI QIDQ328216zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convergencedownside riskportfolio risk managementset-valued scenarios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
• Consistency of the scenario approach
• The optimal portfolio decision under risk based on return
• Set-valued risk statistics with scenario analysis
• Set optimization of set-valued risk measures

Cites work

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

(2)

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

Describes a project that uses

Uses Software

• RiskMetrics
• SeDuMi

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