Robust portfolio selection with polyhedral ambiguous inputs

MaRDI QIDQ5270049zbMATH OpenFDO

Authors Somayyeh Lotfi, Farshid Mehrdoust, Maziar Salahi

Publication date 29 June 2017

Full work available at URL http://jmm.guilan.ac.ir/article_2004.html

zbMATH Keywords

conditional value-at-riskdata ambiguitypolyhedral ambiguity setrobust optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(9)

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• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Robust CCMV model with short selling and risk-neutral interest rate
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• scientific article; zbMATH DE number 5847193 (Why is no real title available?)
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• A polynomial optimization approach to constant rebalanced portfolio selection
• Robust portfolio selection based on a multi-stage scenario tree

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