Robust portfolio selection using linear-matrix inequalities

[1]  A. Stuart,et al.  Portfolio Selection: Efficient Diversification of Investments , 1959 .

[2]  E. Elton Modern portfolio theory and investment analysis , 1981 .

[3]  Frank L. Lewis,et al.  Optimal Control , 1986 .

[4]  Y. Hung,et al.  H ∞ Optimal control: Part 2. Solution for controllers , 1989 .

[5]  Robert B. Litterman,et al.  Asset Allocation , 1991 .

[6]  P. Peres,et al.  On a convex parameter space method for linear control design of uncertain systems , 1991 .

[7]  Philippe Jorion,et al.  Portfolio Optimization in Practice , 1992 .

[8]  R. Roll,et al.  A Mean/Variance Analysis of Tracking Error , 1992 .

[9]  J. Geromel,et al.  A Convex Programming Approach to the H2-Control of Discrete-Time Markovian Jump Linear Systems , 1995, Proceedings of 1995 34th IEEE Conference on Decision and Control.

[10]  A. Lo,et al.  THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.

[11]  Berç Rustem,et al.  Multi-period minimax hedging strategies , 1996 .

[12]  A. David,et al.  Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility , 1997, Journal of Financial and Quantitative Analysis.

[13]  Berç Rustem,et al.  A robust hedging algorithm , 1997 .

[14]  P. Veronesi,et al.  Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities Alexander David Board of Governors of the Federal Reserve System , 1999 .

[15]  H. Zimmermann,et al.  A linear model for tracking error minimization , 1999 .

[16]  B. Rustem,et al.  Robust min}max portfolio strategies for rival forecast and risk scenarios , 2000 .