The convergence of set-valued scenario approach for downside risk minimization

[1]  Duan Li,et al.  A Robust Set-Valued Scenario Approach for Handling Modeling Risk in Portfolio Optimization , 2015 .

[2]  Zhaosong Lu,et al.  A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set , 2011, Optim. Methods Softw..

[3]  Frank J. Fabozzi,et al.  Robust portfolios: contributions from operations research and finance , 2010, Ann. Oper. Res..

[4]  Duan Li,et al.  Robust portfolio selection under downside risk measures , 2009 .

[5]  Masao Fukushima,et al.  Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management , 2009, Oper. Res..

[6]  Melvyn Sim,et al.  Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization , 2008, Manag. Sci..

[7]  Lorenzo Garlappi,et al.  Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach , 2004 .

[8]  Laurent El Ghaoui,et al.  Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach , 2003, Oper. Res..

[9]  B. Halldórsson,et al.  An Interior-Point Method for a Class of Saddle-Point Problems , 2003 .

[10]  Donald Goldfarb,et al.  Robust Portfolio Selection Problems , 2003, Math. Oper. Res..

[11]  O. Costa,et al.  Robust portfolio selection using linear-matrix inequalities , 2002 .

[12]  R. Rockafellar,et al.  Conditional Value-at-Risk for General Loss Distributions , 2001 .

[13]  Alexander Shapiro,et al.  Quantitative stability in stochastic programming , 1994, Math. Program..

[14]  Vijay S. Bawa,et al.  Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework , 1977, Journal of Financial and Quantitative Analysis.

[15]  Jonas Schmitt.  Portfolio Selection Efficient Diversification Of Investments , 2016 .

[16]  F. Fabozzi.  Robust Portfolio Optimization and Management , 2007 .

[17]  G. Pflug.  Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , 2000 .

[18]  R. Rockafellar,et al.  Optimization of conditional value-at risk , 2000 .

[19]  Alexander Shapiro,et al.  On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs , 2000, SIAM J. Optim..

[20]  Jos F. Sturm,et al.  A Matlab toolbox for optimization over symmetric cones , 1999 .

[21]  P. Fishburn.  Mean-Risk Analysis with Risk Associated with Below-Target Returns , 1977 .