Robust Multi-Period Portfolio Selection with Asymmetrically Distributed Uncertainty Set and Return Predictability

SSRN Electronic Journal ◽

10.2139/ssrn.2834208 ◽

2016 ◽

Author(s):

Ai-fan Ling ◽

Jie Sun ◽

Meihua Wang

Keyword(s):

Portfolio Selection ◽

Return Predictability ◽

Uncertainty Set ◽

Asymmetrically Distributed

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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

European Journal of Operational Research ◽

10.1016/j.ejor.2019.01.012 ◽

2020 ◽

Vol 285 (1) ◽

pp. 81-95 ◽

Cited By ~ 3

Author(s):

Aifan Ling ◽

Jie Sun ◽

Meihua Wang

Keyword(s):

Portfolio Selection ◽

Downside Risk ◽

Uncertainty Set ◽

Asymmetrically Distributed

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Portfolio Selection with Return Predictability and Periodically Observable Predictive Variables

SSRN Electronic Journal ◽

10.2139/ssrn.471280 ◽

2003 ◽

Cited By ~ 1

Author(s):

Lixin Huang ◽

Hong Liu

Keyword(s):

Portfolio Selection ◽

Return Predictability ◽

Predictive Variables

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Robust portfolio selection based on a joint ellipsoidal uncertainty set

Optimization Methods and Software ◽

10.1080/10556780903334682 ◽

2011 ◽

Vol 26 (1) ◽

pp. 89-104 ◽

Cited By ~ 28

Author(s):

Zhaosong Lu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust Portfolio Selection Involving Options Under a 'Marginal Joint' Ellipsoidal Uncertainty Set

SSRN Electronic Journal ◽

10.2139/ssrn.2025846 ◽

2012 ◽

Author(s):

Ai-fan Ling ◽

Chen-xian Xu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust portfolio selection involving options under a “ marginal+joint ” ellipsoidal uncertainty set

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2012.03.023 ◽

2012 ◽

Vol 236 (14) ◽

pp. 3373-3393 ◽

Cited By ~ 12

Author(s):

Ai-fan Ling ◽

Cheng-xian Xu

Keyword(s):

Portfolio Selection ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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Robust-based interactive portfolio selection problems with an uncertainty set of returns

Fuzzy Optimization and Decision Making ◽

10.1007/s10700-013-9157-x ◽

2013 ◽

Vol 12 (3) ◽

pp. 263-288 ◽

Cited By ~ 6

Author(s):

Takashi Hasuike ◽

Hideki Katagiri

Keyword(s):

Portfolio Selection ◽

Selection Problems ◽

Uncertainty Set

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A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set

Mathematical Programming ◽

10.1007/s10107-009-0271-z ◽

2009 ◽

Vol 126 (1) ◽

pp. 193-201 ◽

Cited By ~ 15

Author(s):

Zhaosong Lu

Keyword(s):

Portfolio Selection ◽

Computational Study ◽

Uncertainty Set ◽

Robust Portfolio ◽

Ellipsoidal Uncertainty ◽

Robust Portfolio Selection

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A portfolio selection framework for choice under conflict

PsycEXTRA Dataset ◽

10.1037/e722892011-015 ◽

1995 ◽

Author(s):

Chen-Fu Chien ◽

Francois Sainfort

Keyword(s):

Portfolio Selection ◽

Selection Framework

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A Beamforming Algorithm Based on the Uncertainty Set of the Space-Frequency Vector

Proceedings of the 30th International Technical Meeting of The Satellite Division of the Institute of Navigation (ION GNSS+ 2017) ◽

10.33012/2017.15334 ◽

2017 ◽

Author(s):

Chao Ren ◽

Yongxiang Zheng ◽

Gang Hu

Keyword(s):

Frequency Vector ◽

Uncertainty Set ◽

Space Frequency ◽

Beamforming Algorithm

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Investment Manager Analysis: A Comprehensive Guide to Portfolio Selection, Monitoring, and Optimization (a review)

Financial Analysts Journal ◽

10.2469/faj.v61.n2.2719 ◽

2005 ◽

Vol 61 (2) ◽

pp. 100-101

Author(s):

Murad J. Antia

Keyword(s):

Portfolio Selection ◽

Investment Manager

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