Robust portfolio selection based on a multi-stage scenario tree
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Publication:932207
DOI10.1016/J.EJOR.2007.01.059zbMATH Open1157.91014OpenAlexW1973074195MaRDI QIDQ932207FDOQ932207
Authors: Ruijun Shen, Shuzhong Zhang 
Publication date: 10 July 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.01.059
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Cites Work
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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- Robust solutions of uncertain linear programs
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- On Cones of Nonnegative Quadratic Functions
- Robust convex optimization
- Robust Portfolio Selection Problems
- Simulation and optimization approaches to scenario tree generation
- Multivariate Nonnegative Quadratic Mappings
- The minimax approach to stochastic programming and an illustrative application
- Scenario generation and stochastic programming models for asset liability management
- On sensitivity of central solutions in semidefinite programming
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- A \({\mathsf{D}}\)-induced duality and its applications
- Algorithms for the solution of stochastic dynamic minimax problems
Cited In (17)
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Title not available (Why is that?)
- Robust Portfolio Selection Problems
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Robust portfolios: contributions from operations research and finance
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio selection with polyhedral ambiguous inputs
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Multi-period portfolio selection with investor views based on scenario tree
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Investment models based on clustered scenario trees
- Scenario-based portfolio model for building robust and proactive strategies
Uses Software
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