Multi-period portfolio optimization: translation of autocorrelation risk to excess variance

DOI10.1016/J.ORL.2016.10.006zbMath1408.91193arXiv1606.06578OpenAlexW2963844332MaRDI QIDQ1709972

Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang

Publication date: 15 January 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06578

zbMATH Keywords

semidefinite programmingportfolio optimizationrobust optimizationsecond-order cone programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Convex programming (90C25) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (2)

CVaR-based robust models for portfolio selection ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness

Cites Work

• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Distributionally robust joint chance constraints with second-order moment information
• Generalized Chebyshev Bounds via Semidefinite Programming
• Safety First and the Holding of Assets
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