Asset allocation using reliability method

DOI10.1016/j.mcm.2009.02.008zbMath1185.91159OpenAlexW2051744421MaRDI QIDQ969838

B. E. Eshmatov

Publication date: 8 May 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.02.008

zbMATH Keywords

probabilistic optimizationasset allocationadvanced first-order second moment

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Cites Work

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• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust Solutions to Uncertain Semidefinite Programs
• A Generalization of Some Distribution Aspects of Chance-Constrained Linear Programming
• Robust Portfolio Selection Problems

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