Robust portfolio optimization meets arbitrage pricing theory

DOI10.1016/J.EJOR.2025.04.004MaRDI QIDQ6921919zbMATH OpenFDO

Authors Mateus Waga, Davi Michel Valladão, Alexandre Street

Publication date 6 October 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2025.04.004

zbMATH Keywords

arbitrage pricing theoryfactor modelingportfolio optimizationrobust optimization

Mathematics Subject Classification ID

Robustness in mathematical programming (90C17) Portfolio theory (91G10)

Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A survey of adjustable robust optimization
• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Partitioning procedures for solving mixed-variables programming problems
• Portfolio selection under model uncertainty: a penalized moment-based optimization approach
• Robust optimization and portfolio selection: the cost of robustness
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Robust Portfolio Selection Problems
• Technical note: A robust perspective on transaction costs in portfolio optimization
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• The Price of Robustness

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