Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
DOI10.1007/S10589-009-9260-7zbMATH Open1219.91126OpenAlexW1978003346MaRDI QIDQ538296FDOQ538296
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
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quadratic programmingsensitivity analysiscovariance matrix estimationsemidefinite programmingMarkowitz model
Quadratic programming (90C20) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31)
Cites Work
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- Computing the nearest correlation matrix--a problem from finance
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- Multi-stage stochastic linear programs for portfolio optimization
- Stability of the solution of definite quadratic programs
- Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
Cited In (7)
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- Title not available (Why is that?)
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures
- Conditioning theory of the equality constrained quadratic programming and its applications
- Improving portfolios global performance using a cleaned and robust covariance matrix estimate
- Title not available (Why is that?)
Uses Software
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