scientific article; zbMATH DE number 2065136

MaRDI QIDQ4459801zbMATH OpenFDO

Authors Berç Rustem, Reuben Settergren

Publication date 18 May 2004

zbMATH Keywords

worst-case analysismean-variance portfoliosMin-max optimization

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Abstract computational complexity for mathematical programming problems (90C60)

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(8)

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• Scenario optimization asset and liability modelling for individual investors
• Continuous min-max approach for single period portfolio selection problem
• Scenario analysis for derivative portfolios via dynamic factor models
• Best-case scenario robust portfolio: evidence from China stock market
• Robust optimal decisions with imprecise forecasts
• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• Scenario-based portfolio model for building robust and proactive strategies

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