Log-robust portfolio management with parameter ambiguity

DOI10.1007/s10287-017-0275-8zbMath1397.90214OpenAlexW2584122377MaRDI QIDQ1789607

Aurélie Thiele, Ban Kawas

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0275-8

zbMATH Keywords

robust optimizationinner linear approximationlog-robust portfolio managementouter linear approximationweighted sum of exponentials

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (4)

Determination and estimation of risk aversion coefficients ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Quantile-based optimal portfolio selection ⋮ Faster algorithms for min-max-min robustness for combinatorial problems with budgeted uncertainty

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