Robust trade-off portfolio selection

DOI10.1007/s11081-020-09485-zzbMath1457.91353OpenAlexW3003578312MaRDI QIDQ2218875

Seung-Jean Kim, Joong-Ho Won

Publication date: 18 January 2021

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-020-09485-z

zbMATH Keywords

semidefinite programmingminimax regretportfolio optimizationrobust optimizationrobust portfolio optimizationellipsoidal uncertainty model

Mathematics Subject Classification ID

Semidefinite programming (90C22) Portfolio theory (91G10)

Related Items (1)

CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process

Uses Software

• SDPT3
• CVX

Cites Work

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