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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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    Web page: http://www.springerlink.com/link.asp?id=111894

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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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    1. Gulpinar, Nalan & Rustem, Berc, 2007. "Worst-case robust decisions for multi-period mean-variance portfolio optimization," European Journal of Operational Research, Elsevier, vol. 183(3), pages 981-1000, December.
    2. Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
    3. Brodie, Joshua & Daubechies, Ingrid & De Mol, Christine & Giannone, Domenico & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 0936, European Central Bank.
    4. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
    5. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
    6. 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.
    7. Raquel J. Fonseca & Wolfram Wiesemann & Berc Rustem, 2010. "Robust International Portfolio Management," Working Papers 029, COMISEF.
    8. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    9. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    10. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
    11. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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