Histogram models for robust portfolio optimization

Daniel Bienstock

Journal of Computational Finance

Abstract: ABSTRACT We present experimental results on portfolio optimization problems with return errors under the robust optimization framework.We use a histogramlike model for return deviations and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-computational-fina ... rtfolio-optimization (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ0:2160422

Access Statistics for this article

More articles in Journal of Computational Finance from Journal of Computational Finance
Bibliographic data for series maintained by Thomas Paine ().