Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach.
Laurent El GhaouiMaksim OksFrançois OustryPublished in: Oper. Res. (2003)
Keyphrases
- portfolio optimization
- robust optimization
- worst case
- portfolio management
- conic programming
- portfolio selection
- risk management
- risk measures
- factor analysis
- problems involving
- optimization methods
- investment decisions
- stock price
- stock market
- decision making
- bi objective
- decision support system
- stock exchange
- optimization problems
- greedy algorithm
- optimization method
- upper bound
- recommender systems
- lower bound