Robust portfolio selection under downside risk measures

DOI10.1080/14697680902852746zbMath1180.91280OpenAlexW1971209382WikidataQ57445466 ScholiaQ57445466MaRDI QIDQ3650968

Li, Duan, Shou-Yang Wang, Shu-Shang Zhu

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902852746

zbMATH Keywords

robust optimizationportfolio selectiondownside risklower-partial moment

Mathematics Subject Classification ID

Related Items (22)

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Uses Software

• SeDuMi
• RiskMetrics

Cites Work

• Portfolio selection with uncertain exit time: a robust CVaR approach
• Shortfall as a risk measure: properties, optimization and applications
• Foundations of risk measurement. II. Effects of gains on risk
• Applications of second-order cone programming
• Variance vs downside risk: Is there really that much difference?
• An interior-point method for a class of saddle-point problems
• Second-order cone programming
• Portfolio optimization under lower partial risk measures
• Robust optimization-methodology and applications
• Ambiguous chance constrained problems and robust optimization
• Coherent Measures of Risk
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Foundations of Risk Measurement. I. Risk As Probable Loss
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Dual Stochastic Dominance and Related Mean-Risk Models
• Semidefinite Programming
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Discrete-Time Financial Planning Models Under Loss-Averse Preferences
• Robust Portfolio Selection Problems
• Safety First and the Holding of Assets
• Robust portfolio selection using linear-matrix inequalities

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