Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection

DOI10.1007/s10589-009-9260-7zbMath1219.91126OpenAlexW1978003346MaRDI QIDQ538296

Vincent Guigues

Publication date: 25 May 2011

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

Full work available at URL: https://doi.org/10.1007/s10589-009-9260-7

zbMATH Keywords

quadratic programmingsensitivity analysissemidefinite programmingMarkowitz modelcovariance matrix estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Semidefinite programming (90C22) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

Related Items (2)

Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Conditioning theory of the equality constrained quadratic programming and its applications

Uses Software

• SeDuMi

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Multi-stage stochastic linear programs for portfolio optimization
• Stability of the solution of definite quadratic programs
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization

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