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On the role of norm constraints in portfolio selection

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  • Jun-ya Gotoh

    ()

  • Akiko Takeda

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10287-011-0130-2
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    Bibliographic Info

    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 8 (2011)
    Issue (Month): 4 (November)
    Pages: 323-353

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    Handle: RePEc:spr:comgts:v:8:y:2011:i:4:p:323-353

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    Related research

    Keywords: Portfolio optimization; Norm constraint; Robust portfolio; Tracking portfolio; CVaR (conditional value-at-risk); 90C90; 91G10; 62P05;

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    References

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    1. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, Elsevier, vol. 210(2), pages 410-424, April.
    2. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, INFORMS, vol. 37(5), pages 519-531, May.
    3. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1443-1471, July.
    4. Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, Springer, vol. 9(1), pages 31-62, February.
    5. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    6. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1651-1684, 08.
    7. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
    8. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6474, C.E.P.R. Discussion Papers.
    9. Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
    10. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
    11. Gulpinar, Nalan & Rustem, Berc, 2007. "Worst-case robust decisions for multi-period mean-variance portfolio optimization," European Journal of Operational Research, Elsevier, Elsevier, vol. 183(3), pages 981-1000, December.
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    Cited by:
    1. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(4), pages 1232-1242.
    2. Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 737-759.

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