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Robust portfolio selection using linear-matrix inequalities

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  • Costa, O. L. V.
  • Paiva, A. C.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-44KV265-1/2/3afc8fef3ccbf8d3baaf8dc22adbdb2b
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 26 (2002)
    Issue (Month): 6 (June)
    Pages: 889-909

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    Handle: RePEc:eee:dyncon:v:26:y:2002:i:6:p:889-909

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    1. Rudolf, Markus & Wolter, Hans-Jurgen & Zimmermann, Heinz, 1999. "A linear model for tracking error minimization," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 85-103, January.
    2. Howe, M. A. & Rustem, B. & Selby, M. J. P., 1996. "Multi-period minimax hedging strategies," European Journal of Operational Research, Elsevier, vol. 93(1), pages 185-204, August.
    3. Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.
    4. Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
    5. David, Alexander, 1997. "Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 427-462, December.
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    Cited by:
    1. Selim Mankaï & Khaled Guesmi, 2014. "Robust Portfolio Protection: A Scenarios-Based Approach," Working Papers 2014-394, Department of Research, Ipag Business School.
    2. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
    3. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
    4. Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jul 2014.
    5. Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
    6. Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org.
    7. Ling, Aifan & Sun, Jie & Yang, Xiaoguang, 2014. "Robust tracking error portfolio selection with worst-case downside risk measures," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 178-207.
    8. Selim Mankaï, 2014. "Data-Driven Robust Optimization with Application to Portfolio Management," Working Papers 2014-104, Department of Research, Ipag Business School.

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