Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
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Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set
Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set
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Cites work
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- An interior-point method for a class of saddle-point problems
- scientific article; zbMATH DE number 417962 (Why is no real title available?)
- scientific article; zbMATH DE number 729680 (Why is no real title available?)
- Linear Matrix Inequalities in System and Control Theory
- Matrix Analysis
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Robust asset allocation
- Robust convex optimization
- Robust One-Period Option Hedging
- Robust portfolio optimization with derivative insurance guarantees
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust Portfolio Selection Problems
- Robust portfolio selection under downside risk measures
- Robust portfolios: contributions from operations research and finance
- Robust solutions of uncertain linear programs
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- The pricing of options and corporate liabilities
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- 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
Cited in
(15)- Recent advancements in robust optimization for investment management
- 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
- 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
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints
- scientific article; zbMATH DE number 5847193 (Why is no real title available?)
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio optimization with derivative insurance guarantees
- Robust portfolio asset allocation and risk measures
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio optimization meets arbitrage pricing theory
- Developing a multi-period robust optimization model considering American style options
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