Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
From MaRDI portal
Publication:425328
DOI10.1016/J.CAM.2012.03.023zbMATH Open1239.91152OpenAlexW2070460421MaRDI QIDQ425328FDOQ425328
Publication date: 8 June 2012
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.023
Recommendations
- Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints
- scientific article; zbMATH DE number 5847193
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust-based interactive portfolio selection problems with an uncertainty set of returns
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Robust portfolio selection under norm uncertainty
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Robust portfolio selection problems including uncertainty factors
Cites Work
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- The pricing of options and corporate liabilities
- Matrix Analysis
- Title not available (Why is that?)
- Linear Matrix Inequalities in System and Control Theory
- Title not available (Why is that?)
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust solutions of uncertain linear programs
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Robust convex optimization
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust Portfolio Selection Problems
- Robust asset allocation
- Robust portfolio selection under downside risk measures
- Robust portfolio optimization with derivative insurance guarantees
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Robust portfolios: contributions from operations research and finance
- An interior-point method for a class of saddle-point problems
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust One-Period Option Hedging
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
Cited In (11)
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Recent advancements in robust optimization for investment management
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Title not available (Why is that?)
- Robust tracking error portfolio selection with worst-case downside risk measures
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Developing a multi-period robust optimization model considering American style options
- Robust portfolio asset allocation and risk measures
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- A numerical study for robust active portfolio management with worst-case downside risk measure
- Robust optimization approximation for ambiguous P-model and its application
Uses Software
This page was built for publication: Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q425328)
