Portfolio selection under model uncertainty: a penalized moment-based optimization approach

DOI10.1007/s10898-012-9969-1zbMath1272.90038OpenAlexW1987434446MaRDI QIDQ1955553

Roy H. Kwon, Jonathan Y. Li

Publication date: 14 June 2013

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-012-9969-1

zbMATH Keywords

model uncertaintypenalty methodportfolio selectiondistributionally robust optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (6)

Frameworks and results in distributionally robust optimization ⋮ Globalized distributionally robust optimization based on samples ⋮ Robust decision making using a general utility set ⋮ An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets ⋮ Robust Control of Partially Observable Failing Systems ⋮ Distributionally robust optimization. A review on theory and applications

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