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A successive SDP-NSDP approach to a robust optimization problem in finance

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  • F. Leibfritz
  • J. Maruhn

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  • F. Leibfritz & J. Maruhn, 2009. "A successive SDP-NSDP approach to a robust optimization problem in finance," Computational Optimization and Applications, Springer, vol. 44(3), pages 443-466, December.
    • Handle: RePEc:spr:coopap:v:44:y:2009:i:3:p:443-466
    DOI: 10.1007/s10589-007-9163-4
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    References listed on IDEAS

    as
    1. R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
    2. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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    Cited by:

    1. Miguel Goberna, 2012. "Comments on: Stability in linear optimization and related topics. A personal tour," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 245-249, July.
    2. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    3. M. A. Goberna & M. A. López, 2017. "Recent contributions to linear semi-infinite optimization," 4OR, Springer, vol. 15(3), pages 221-264, September.
    4. Adrian Gepp & Geoff Harris & Bruce Vanstone, 2020. "Financial applications of semidefinite programming: a review and call for interdisciplinary research," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3527-3555, December.
    5. Rodrigo Garcés & Walter Gómez & Florian Jarre, 2011. "A self-concordance property for nonconvex semidefinite programming," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 77-92, August.
    6. M. A. Goberna & M. A. López, 2018. "Recent contributions to linear semi-infinite optimization: an update," Annals of Operations Research, Springer, vol. 271(1), pages 237-278, December.

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