Portfolio selection under distributional uncertainty: A relative robust CVaR approach

European Journal of Operational Research

Volumn 203, Issue 1, 2010, Pages 185-194

  Huang, Dashan ^a   Zhu, Shushang ^b   Fabozzi, Frank J ^c   Fukushima, Masao ^d  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b FUDAN UNIVERSITY   (China)

^c YALE UNIVERSITY   (United States)

^d KYOTO UNIVERSITY   (Japan)

Author keywords

Conditional value at risk; Linear programming; Portfolio selection problem; Relative robust conditional value at risk; Worst case conditional value at risk

Indexed keywords

CONDITIONAL VALUE-AT-RISK; LINEAR PROGRAMS; OPTIMIZATION AND CONTROL; OPTIMIZATION PROBLEMS; PORTFOLIO SELECTION; PORTFOLIO SELECTION PROBLEM; PORTFOLIO SELECTION PROBLEMS; RELATIVE ROBUST CONDITIONAL VALUE-AT-RISK; ROBUST OPTIMIZATION; SECOND-ORDER CONE PROGRAM; UNCERTAIN PARAMETERS; WORST CASE SCENARIO; WORST-CASE CONDITIONAL VALUE-AT-RISK;

DYNAMIC PROGRAMMING; LINEAR PROGRAMMING; LINEARIZATION; OPTIMIZATION; PROBABILITY DISTRIBUTIONS; UNCERTAINTY ANALYSIS; VALUE ENGINEERING;

RISK PERCEPTION;

EID: 70350569193     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.07.010     Document Type: Article

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