Robust portfolio optimization: a conic programming approach
type: Item
instance of: scholarly article
title: Robust portfolio optimization: a conic programming approach
zbMATH Open document ID: 1250.90064
author: Kai Ye
author: Panos Parpas
author: Berç Rustem
published in: Computational Optimization and Applications
publication date: 2012-09-27T00:00:00Z
full work available at URL: wps015.pdf
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 90C22
zbMATH DE Number: 6087668
zbMATH Keywords: mean variance optimization
zbMATH Keywords: robust optimization
zbMATH Keywords: conic programming
describes a project that uses: SeDuMi
describes a project that uses: SDPT3
MaRDI profile type: Publication
OpenAlex ID: W2051386419
cites work: Q4821526
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cites work: Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
cites work: SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
cites work: Robust asset allocation
cites work: Semi-infinite programming and applications to minimax problems
DOI: 10.1007/S10589-011-9419-X
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description: scientific article; zbMATH DE number 6087668