A log-robust optimization approach to portfolio management

DOI10.1007/s00291-008-0162-3zbMath1232.91625OpenAlexW1999596133MaRDI QIDQ626631

Ban Kawas, Aurélie Thiele

Publication date: 18 February 2011

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-008-0162-3

zbMATH Keywords

convex optimizationrobust optimizationportfolio management

Mathematics Subject Classification ID

Convex programming (90C25) Sensitivity, stability, parametric optimization (90C31) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Related Items (14)

A survey of nonlinear robust optimization ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ The effect of regularization in portfolio selection problems ⋮ Robust optimization for non-linear impact of data variation ⋮ Optimization under Rare Chance Constraints ⋮ A robust multiobjective mathematical model optimizing stock portfolio ⋮ Short sales in log-robust portfolio management ⋮ A robust mean absolute deviation model for portfolio optimization ⋮ Log-robust portfolio management after transaction costs ⋮ Stochastic linear programming with a distortion risk constraint ⋮ Recent advances in robust optimization: an overview ⋮ Log-robust portfolio management with parameter ambiguity ⋮ Distributionally robust chance constraints for non-linear uncertainties

Cites Work

• The Pricing of Options and Corporate Liabilities
• Robust solutions of uncertain linear programs
• Robust multiperiod portfolio management in the presence of transaction costs
• Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
• The Price of Robustness
• Robust Portfolio Selection Problems
• Unnamed Item

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