Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set

DOI10.1016/j.cam.2012.03.023zbMath1239.91152OpenAlexW2070460421MaRDI QIDQ425328

Cheng-Xian Xu, Ai-Fan Ling

Publication date: 8 June 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.03.023

zbMATH Keywords

linear matrix inequalityrobust optimizationrobust portfolioprobability constraint

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

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Uses Software

• SeDuMi

Cites Work

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