Robust portfolio asset allocation and risk measures

DOI10.1007/s10288-010-0125-9zbMath1193.91144OpenAlexW1986415480MaRDI QIDQ5901149

Raffaella Recchia, Maria Grazia Scutellà

Publication date: 23 August 2010

Published in: 4OR (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10288-010-0125-9

zbMATH Keywords

robustnessrisk measuresmathematical modelsalgorithmic approachesportfolio asset allocation

Mathematics Subject Classification ID

Related Items (8)

Robust portfolio optimization: a categorized bibliographic review ⋮ Twelve surveys in operations research ⋮ Min-max and min-max (relative) regret approaches to representatives selection problem ⋮ Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints ⋮ On the role of norm constraints in portfolio selection ⋮ Surveys in operations research ⋮ Robust portfolio asset allocation and risk measures ⋮ Min-max controllable risk problems

Uses Software

• KNITRO
• SeDuMi
• Mosek
• ROME
• QRM

Cites Work

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