Optimal portfolio and confidence set

DOI10.1007/S10958-022-05881-1MaRDI QIDQ6188052zbMATH OpenFDO

Authors Grigory Beliavsky, Natalia Danilova

Publication date 1 February 2024

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

zbMATH Keywords

quantileportfoliodualityreturnexpectationsminimal volume ellipsoidcovariation matrix

Mathematics Subject Classification ID

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

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Cites work

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

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