Tight bounds for some risk measures, with applications to robust portfolio selection

Operations Research

Volumn 59, Issue 4, 2011, Pages 847-865

  Chen, Li ^a   He, Simai ^b   Zhang, Shuzhong ^c  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Chebyshev inequality; Portfolio selection; Robust optimization; S shaped function

Indexed keywords

CHEBYSHEV INEQUALITIES; CONDITIONAL VALUE-AT-RISK; EXPECTED UTILITY; EXPECTED VALUES; INVESTMENT RETURNS; LOWER PARTIAL MOMENTS; NP-HARD; PORTFOLIO MODEL; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; PORTFOLIO SELECTION PROBLEMS; PROSPECT THEORY; QUADRATIC FUNCTION; RANDOM DISTRIBUTION; RISK MEASURES; ROBUST MODELS; ROBUST OPTIMIZATION; S-SHAPED; SECOND ORDERS; SEMI-DEFINITE PROGRAMMING; SINGLE STAGE; TIGHT BOUND; VALUE AT RISK; VALUE FUNCTIONS; VARIANCE ESTIMATION;

COMPUTATIONAL COMPLEXITY; CONVEX OPTIMIZATION; OPTIMIZATION; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 80053268411     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1110.0950     Document Type: Article

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