Portfolio optimization using a new probabilistic risk measure

DOI10.3934/jimo.2015.11.1275zbMath1315.90025OpenAlexW2000063803MaRDI QIDQ2351284

Guanglu Zhou, Yufei Sun, Grace Aw, Kok Lay Teo

Publication date: 23 June 2015

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2015.11.1275

zbMATH Keywords

optimizationminimaxportfolio selectionchance constraintprobabilistic risk measure

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (10)

Critical Interactive Risks in Project Portfolios from the Life Cycle Perspective ⋮ An optimal trade-off model for portfolio selection with sensitivity of parameters ⋮ An analytic solution for multi-period uncertain portfolio selection problem ⋮ CVaR-based robust models for portfolio selection ⋮ Uncertain portfolio optimization problem under a minimax risk measure ⋮ A new portfolio selection model with interval-typed random variables and the empirical analysis ⋮ Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint ⋮ A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems ⋮ An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification

Cites Work

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• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Portfolio selection problem with minimax type risk function

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