Robust portfolio selection based on asymmetric measures of variability of stock returns

DOI10.1016/j.cam.2009.06.010zbMath1181.91290OpenAlexW1995503290MaRDI QIDQ843134

Wei Chen, Shaohua Tan

Publication date: 29 September 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.06.010

zbMATH Keywords

chance-constrained programmingrobust portfolio selectioninterval random uncertainty set

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (6)

Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Developing a multi-period robust optimization model considering American style options ⋮ Robust reward–risk ratio portfolio optimization ⋮ Robust optimization and portfolio selection: the cost of robustness ⋮ Worst-case analysis of Gini mean difference safety measure

Cites Work

• An interior-point method for a class of saddle-point problems
• Robust solutions of linear programming problems contaminated with uncertain data
• Robust asset allocation
• Robust Convex Optimization
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust Portfolio Selection Problems

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