Robust portfolio selection using linear-matrix inequalities

By Oswaldo Luiz do Valle Costa, A. Paiva. 2002

99 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0f101c42c4f9271170cab1836f937ae46c719439

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Shouyang Wang
2. Duan Li
3. Shushang Zhu
4. Masao Fukushima
5. Dimitris J. Bertsimas
6. David B. Brown
7. Xun Yu Zhou
8. Peter A. Forsyth

In Management Science and Operations Research

1. Dimitris J. Bertsimas
2. Duan Li
3. Shushang Zhu
4. Shouyang Wang
5. Constantine Caramanis
6. David B. Brown
7. Masao Fukushima
8. Laurent El Ghaoui

Citations in the corpus

• Theory and Applications of Robust Optimization (2010, background): “Costa and Paiva [43] propose uncertainty structures of the form M = conv {μ1, .”
• Robust portfolio selection under downside risk measures (2009, background): “Lobo and Boyd (2000), Costa and Paiva (2002), Goldfarb and Iyengar (2003) and Lu (2006) studied the robust portfolio problem under the mean-variance framework.”
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009, background): “…and ellipsoidal uncertainty, together with mixture distribution uncertainty, are the most often used uncertainty structures in robust optimization formulations (see, for example, Costa and Paiva 2002, Goldfarb and Iyengar 2003, Halldórsson and Tütüncü 2003 and El Ghaoui, Oks and Oustry 2003).”
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003, background): “Costa and Paiva (2001) consider the problem of robust portfolio selection for tracking error with the polytopic uncertainty in the mean and covariance matrix of asset returns.”