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Robust optimization approaches to single period portfolio allocation problem
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Gulpinar, Nalan and Hu, Zhezhi (2016) Robust optimization approaches to single period portfolio allocation problem. In: Doumpos , Michael and Zopounidis , Constantin and Grigoroudis , Evangelos , (eds.) Robustness Analysis in Decision Aiding, Optimization, and Analytics. International Series in Operations Research & Management Science, 241 . Springer, pp. 265-283. ISBN 9783319331195
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Official URL: http://dx.doi.org/10.1007/978-3-319-33121-8_12
Abstract
Portfolio management is one of the fundamental problems in financial decision making. In a typical portfolio management problem, an investor is concerned with an optimal allocation of the capital among a number of available financial assets to maximize the return on the investment while minimizing the risk. This problem was formulated in the mean-variance portfolio management framework proposed by Markowitz in 1952. Since then, it has been widely studied by researchers and the practitioners. However, the solution is sensitive to model parameters due to data uncertainty. In this chapter, we review robust approaches to deal with data uncertainty for a single-period portfolio allocation problem. We first introduce the main ideas of robust optimization using symmetric and asymmetric uncertainty sets where the uncertain asset returns belong to. We then focus on data driven and distributionally robust optimization approaches.
| Item Type: | Book Item | ||||
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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| Series Name: | International Series in Operations Research & Management Science | ||||
| Publisher: | Springer | ||||
| ISBN: | 9783319331195 | ||||
| ISSN: | 0884-8289 | ||||
| Book Title: | Robustness Analysis in Decision Aiding, Optimization, and Analytics | ||||
| Editor: | Doumpos , Michael and Zopounidis , Constantin and Grigoroudis , Evangelos | ||||
| Official Date: | July 2016 | ||||
| Dates: |
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| Volume: | 241 | ||||
| Page Range: | pp. 265-283 | ||||
| DOI: | 10.1007/978-3-319-33121-8_12 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published |
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