scientific article; zbMATH DE number 2065137

MaRDI QIDQ4459803zbMATH OpenFDO

Authors Rodrigo de Barros Nabholz, Oswaldo Luiz V. Costa

Publication date 18 May 2004

zbMATH Keywords

computational tool

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(4)

• Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
• Multiperiod mean-variance optimization with intertemporal restrictions
• Distributionally robust portfolio optimization with linearized STARR performance measure
• Robust portfolio selection using linear-matrix inequalities

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