A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION

DOI10.1142/S0217595907001401zbMath1158.91392MaRDI QIDQ3503069

Zhiping Chen, Yi Wang, Ke-Cun Zhang

Publication date: 20 May 2008

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection, Sparse portfolio rebalancing model based on inverse optimization, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION, Sample average approximation method for chance constrained programming: Theory and applications, Advances and applications of chance-constrained approaches to systems optimisation under uncertainty

Cites Work

• On a homogeneous algorithm for the monotone complementarity problem
• Lectures on Modern Convex Optimization
• Large-Scale Portfolio Optimization
• Mean-absolute deviation portfolio optimization model under transaction costs
• Multivariate T-Distributions and Their Applications
• Higher moment coherent risk measures
• Measures of multivariate skewness and kurtosis with applications