A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set

DOI10.1007/s10107-009-0271-zzbMath1208.91136OpenAlexW2065537693MaRDI QIDQ623460

Zhaosong Lu

Publication date: 14 February 2011

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-009-0271-z

zbMATH Keywords

cone programmingrobust portfolio selectionellipsoidal uncertainty set

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Semidefinite programming (90C22) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items

Robust portfolio optimization: a categorized bibliographic review ⋮ Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set ⋮ Optimal investment with multiple risky assets for an insurer in an incomplete market ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ Recent developments in robust portfolios with a worst-case approach ⋮ Robust portfolio asset allocation and risk measures ⋮ Global minimum variance portfolios under uncertainty: a robust optimization approach ⋮ Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization

Uses Software

• SeDuMi

Cites Work

• Robust asset allocation
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Robust Portfolio Selection Problems
• Unnamed Item