Robust international portfolio management

DOI10.1007/s10287-011-0132-0zbMath1273.91421OpenAlexW2157408987MaRDI QIDQ373171

Wolfram Wiesemann, Raquel J. Fonseca, Berc Rustem

Publication date: 21 October 2013

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-011-0132-0

zbMATH Keywords

semidefinite programmingrobust optimizationrisk managementinternational portfolio optimizationquanto options

Mathematics Subject Classification ID

Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

Recent advancements in robust optimization for investment management ⋮ Robust international portfolio optimization with worst-case mean-CVaR ⋮ International portfolio management with affine policies ⋮ On the role of norm constraints in portfolio selection ⋮ Robust hedging strategies ⋮ Multistage portfolio optimization with stocks and options

Uses Software

• SDPT3
• YALMIP

Cites Work

• Unnamed Item
• Unnamed Item
• Solving semidefinite-quadratic-linear programs using SDPT3
• The Pricing of Options and Corporate Liabilities
• Robust portfolio optimization with derivative insurance guarantees
• Primal and dual linear decision rules in stochastic and robust optimization
• Computing optimal multi-currency mean-variance portfolios
• Infinitely constrained optimization problems
• Computing efficient frontiers using estimated parameters
• Adjustable robust solutions of uncertain linear programs
• A dynamic stochastic programming model for international portfolio management
• Robust Convex Optimization
• Robust Solutions to Least-Squares Problems with Uncertain Data
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Semidefinite Programming