Optimal portfolio and confidence set

DOI10.1007/S10958-022-05881-1MaRDI QIDQ6188052FDOQ6188052

Authors: Grigory Beliavsky, Natalia Danilova 

Publication date: 1 February 2024

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

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zbMATH Keywords

quantileportfoliodualityreturnexpectationsminimal volume ellipsoidcovariation matrix

Mathematics Subject Classification ID

Statistics (62-XX) Theory of computing (68Qxx) Mathematical programming (90Cxx)

Cites Work

• Testing Statistical Hypotheses
• Rounding of Polytopes in the Real Number Model of Computation
• Computation of Minimum-Volume Covering Ellipsoids
• A review on ambiguity in stochastic portfolio optimization

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