A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set

Mathematical Programming ◽

10.1007/s10107-009-0271-z ◽

2009 ◽

Vol 126 (1) ◽

pp. 193-201 ◽

Author(s):

Zhaosong Lu

Keyword(s):

Portfolio Selection ◽

Computational Study ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust portfolio selection based on a joint ellipsoidal uncertainty set

Optimization Methods and Software ◽

10.1080/10556780903334682 ◽

2011 ◽

Vol 26 (1) ◽

pp. 89-104 ◽

Author(s):

Zhaosong Lu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust Portfolio Selection Involving Options Under a 'Marginal Joint' Ellipsoidal Uncertainty Set

SSRN Electronic Journal ◽

10.2139/ssrn.2025846 ◽

2012 ◽

Author(s):

Ai-fan Ling ◽

Chen-xian Xu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust portfolio selection involving options under a “ marginal+joint ” ellipsoidal uncertainty set

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2012.03.023 ◽

2012 ◽

Vol 236 (14) ◽

pp. 3373-3393 ◽

Author(s):

Ai-fan Ling ◽

Cheng-xian Xu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust Portfolio Selection with Regime Switching R-Vine Copulas

SSRN Electronic Journal ◽

10.2139/ssrn.3588967 ◽

2020 ◽

Author(s):

Xiaoshan Su ◽

Manying Bai ◽

Yingwei Han

Keyword(s):

Portfolio Selection ◽

Regime Switching ◽

Robust Portfolio ◽

Vine Copulas ◽

Robust Portfolio Selection

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Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.3613739 ◽

2020 ◽

Author(s):

Chi Seng Pun ◽

Lei Wang ◽

Hoi Ying Wong

Keyword(s):

Portfolio Selection ◽

Thought Experiment ◽

Robust Portfolio ◽

Robust Portfolio Selection

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Robust Portfolio Selection with Regime Switching and Asymmetric Dependence

Economic Modelling ◽

10.1016/j.econmod.2021.03.011 ◽

2021 ◽

Author(s):

Xiaoshan Su ◽

Manying Bai ◽

Yingwei Han

Keyword(s):

Portfolio Selection ◽

Regime Switching ◽

Asymmetric Dependence ◽

Robust Portfolio ◽

Robust Portfolio Selection

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Good deals and benchmarks in robust portfolio selection

European Journal of Operational Research ◽

10.1016/j.ejor.2015.09.023 ◽

2016 ◽

Vol 250 (2) ◽

pp. 666-678 ◽

Author(s):

Alejandro Balbás ◽

Beatriz Balbás ◽

Raquel Balbás

Keyword(s):

Portfolio Selection ◽

Robust Portfolio ◽

Robust Portfolio Selection

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Robust Portfolio Selection with Generalized Preferences: A Methodology for Private Banking

SSRN Electronic Journal ◽

10.2139/ssrn.621845 ◽

2004 ◽

Author(s):

Michel Verlaine

Keyword(s):

Portfolio Selection ◽

Robust Portfolio ◽

Private Banking ◽

Robust Portfolio Selection

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Robust Portfolio Selection with Endogenous Expected Returns and Asset Allocation Timing Strategies

Stock Market Volatility - Chapman & Hall/CRC Finance Series ◽

10.1201/9781420099553.ch11 ◽

2009 ◽

pp. 209-230

Author(s):

Marc G√ºrtler ◽

Olaf Stotz ◽

Wolfgang Breuer

Keyword(s):

Portfolio Selection ◽

Asset Allocation ◽

Expected Returns ◽

Robust Portfolio ◽

Timing Strategies ◽

Robust Portfolio Selection

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Robust Portfolio Selection Using Sparse Estimation of Comoment Tensors

SSRN Electronic Journal ◽

10.2139/ssrn.3455400 ◽

2019 ◽

Author(s):

Nathan Lassance ◽

Frederic Daniel Vrins

Keyword(s):

Portfolio Selection ◽

Sparse Estimation ◽

Robust Portfolio ◽

Robust Portfolio Selection

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