Robust international portfolio management
From MaRDI portal
Publication:373171
DOI10.1007/s10287-011-0132-0zbMath1273.91421OpenAlexW2157408987MaRDI QIDQ373171
Wolfram Wiesemann, Raquel J. Fonseca, Berc Rustem
Publication date: 21 October 2013
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-011-0132-0
semidefinite programmingrobust optimizationrisk managementinternational portfolio optimizationquanto options
Semidefinite programming (90C22) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Recent advancements in robust optimization for investment management ⋮ Robust international portfolio optimization with worst-case mean-CVaR ⋮ International portfolio management with affine policies ⋮ On the role of norm constraints in portfolio selection ⋮ Robust hedging strategies ⋮ Multistage portfolio optimization with stocks and options
Uses Software
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