Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set
type: Item
instance of: scholarly article
title: Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set
zbMATH Open document ID: 1239.91152
author: Ai-Fan Ling
author: Cheng-Xian Xu
published in: Journal of Computational and Applied Mathematics
publication date: 2012-06-08T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6043610
zbMATH Keywords: robust optimization
zbMATH Keywords: robust portfolio
zbMATH Keywords: probability constraint
zbMATH Keywords: linear matrix inequality
describes a project that uses: SeDuMi
MaRDI profile type: Publication
full work available at URL: j.cam.2012.03.023
OpenAlex ID: W2070460421
cites work: Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
cites work: Robust convex optimization
cites work: Robust solutions of uncertain linear programs
cites work: Robust Solutions to Least-Squares Problems with Uncertain Data
cites work: Robust Portfolio Selection Problems
cites work: Q4324980
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
cites work: Robust portfolio selection under downside risk measures
cites work: Portfolio selection with uncertain exit time: a robust CVaR approach
cites work: Robust portfolios: contributions from operations research and finance
cites work: An interior-point method for a class of saddle-point problems
cites work: Robust asset allocation
cites work: Robust portfolio selection based on a joint ellipsoidal uncertainty set
cites work: A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
cites work: Robust One-Period Option Hedging
cites work: Robust portfolio optimization with derivative insurance guarantees
cites work: Q3134873
cites work: Linear Matrix Inequalities in System and Control Theory
cites work: Matrix Analysis
cites work: Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
cites work: The pricing of options and corporate liabilities
DOI: 10.1016/J.CAM.2012.03.023
Recommended article: Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints
Recommended article: Q3072191
Recommended article: A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
Recommended article: Robust portfolio selection based on a joint ellipsoidal uncertainty set
Recommended article: Robust-based interactive portfolio selection problems with an uncertainty set of returns
Recommended article: Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
Recommended article: Robust portfolio selection under norm uncertainty
Recommended article: Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Recommended article: Robust portfolio optimization with a generalized expected utility model under ambiguity
Recommended article: Q3107495
description: scientific article; zbMATH DE number 6043610