Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection

DOI10.1007/S10589-009-9260-7MaRDI QIDQ538296zbMATH OpenOpenAlexFDO

Authors Vincent Guigues

Publication date 25 May 2011

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-009-9260-7

zbMATH Keywords

quadratic programmingsensitivity analysiscovariance matrix estimationsemidefinite programmingMarkowitz model

Mathematics Subject Classification ID

Quadratic programming (90C20) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31)

Recommendations

• Sensitivity to estimation errors in mean-variance models
• Robust portfolio optimization: a conic programming approach
• Portfolio selection with robust estimation
• Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
• The optimal portfolio with a modified covariance matrix using the clustering method

Cites work

• Computing the nearest correlation matrix--a problem from finance
• Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
• Multi-stage stochastic linear programs for portfolio optimization
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Stability of the solution of definite quadratic programs
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

Cited in

(7)

• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• scientific article; zbMATH DE number 5060255 (Why is no real title available?)
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Improving portfolios global performance using a cleaned and robust covariance matrix estimate
• Conditioning theory of the equality constrained quadratic programming and its applications
• scientific article; zbMATH DE number 2169231 (Why is no real title available?)

Describes a project that uses

Uses Software

• SeDuMi

This page was built for publication: Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q538296)