SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization

2016 ◽  
Vol 84 (1) ◽  
pp. 129-154 ◽  
Author(s):  
Shuang Chen ◽  
Li-Ping Pang ◽  
Xue-Fei Ma ◽  
Dan Li
Keyword(s):  
Variational Inequality ◽  
Portfolio Optimization ◽  
Newton Method ◽  
Second Order ◽  
Stochastic Variational Inequality ◽  
Modified Newton Method ◽  
Cone Constraints ◽  
Second Order Cone

ROBUST INDEX-TRACKING AND ENHANCED INDEX-TRACKING IN PORTFOLIO OPTIMIZATION

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Nazanin Ansari Khoshabar ◽  
Maziar Salahi ◽  
Somayyeh Lotfi ◽  
Abdelouahed Hamdi
Keyword(s):  
Portfolio Optimization ◽  
Covariance Matrix ◽  
Sharpe Ratio ◽  
Second Order ◽  
Interval Uncertainty ◽  
Index Tracking ◽  
Second Order Cone

We study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of  second order cone programs. Finally, we test the models on EUROSTOXX 50 dataset. We compare the solutions of the robust models with nominal models to show the effect of uncertainty, and compare the performance of different strategies in terms of Sharpe ratio.

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