Robust portfolio optimization: a conic programming approach

DOI10.1007/s10589-011-9419-xzbMath1250.90064OpenAlexW2051386419MaRDI QIDQ453610

Panos Parpas, Kai Ye, Berc Rustem

Publication date: 27 September 2012

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: http://comisef.eu/files/wps015.pdf

zbMATH Keywords

robust optimizationconic programmingmean variance optimization

Mathematics Subject Classification ID

Semidefinite programming (90C22) Quadratic programming (90C20)

Related Items (10)

A survey of nonlinear robust optimization ⋮ Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS) ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets ⋮ How to project onto extended second order cones ⋮ Recent advances in robust optimization: an overview ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Trust Your Data or Not—StQP Remains StQP: Community Detection via Robust Standard Quadratic Optimization

Uses Software

• SeDuMi
• SDPT3

Cites Work

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• Computing efficient frontiers using estimated parameters
• Semi-infinite programming and applications to minimax problems
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• Robust asset allocation
• Dynamic mean-variance portfolio analysis under model risk
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Robust Portfolio Selection Problems

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