Robust CCMV model with short selling and risk-neutral interest rate

T. Khodamoradi, M. Salahi and A.R. Najafi

Physica A: Statistical Mechanics and its Applications, 2020, vol. 547, issue C

Abstract: Robust optimization is a powerful tool for managing uncertainty in financial optimization problems. In this paper, we study the cardinality constraints mean–variance portfolio optimization model with short selling and risk-neutral interest rate under the return and covariance matrix uncertainty. Equivalent mixed integer second order cone programming formulation of its robust counterpart is given for the interval uncertainty. Finally, using S&P 500 index data, original and robust models are compared in terms of Sharpe ratios.

Keywords: CCMV model; Short selling; Robust optimization (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:547:y:2020:i:c:s0378437120301710

DOI: 10.1016/j.physa.2020.124429

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