An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

2016 ◽  
Vol 255 (3) ◽  
pp. 961-970 ◽  
Author(s):  
Betina Fernandes ◽  
Alexandre Street ◽  
Davi Valladão ◽  
Cristiano Fernandes
Keyword(s):  
Portfolio Optimization ◽  
Optimization Model ◽  
Data Driven ◽  
Robust Portfolio Optimization ◽  
Uncertainty Sets ◽  
Robust Portfolio ◽  
Portfolio Optimization Model

A portfolio optimization model for corporate bonds subject to credit risk

2004 ◽  
Vol 6 (2) ◽  
pp. 31-48 ◽  
Author(s):  
Nagisa Akutsu ◽  
Masaaki Kijima ◽  
Katsuya Komoribayashi
Keyword(s):  
Credit Risk ◽  
Portfolio Optimization ◽  
Optimization Model ◽  
Corporate Bonds ◽  
Portfolio Optimization Model
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