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ArticleRobust portfolio optimization: a conic programming approach

Panos Parpas2011

Article2011

Robust portfolio optimization: a conic programming approach

Panos Parpas · Berç Rüstem

30 citations·0/0 files stored·Computational Optimization and Applications

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Advanced Optimization Algorithms Research

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References

2003Robust Portfolio Selection Problems 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach 2004Robust Asset Allocation 1993Computing efficient frontiers using estimated parameters 2006Incorporating estimation errors into portfolio selection: Robust portfolio construction 2003Algorithms for Worst-Case Design and Applications to Risk Management 2000Robust min–max portfolio strategies for rival forecast and risk scenarios 2003Algorithms for Worst-Case Design and Applications to Risk Management

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2021Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS)

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Year2011

Typearticle

Published2011-06-22

VenueComputational Optimization and Applications

ISSN-L0926-6003

Languageen

Citations30

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10589-011-9419-x

openalex_workW2051386419

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