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On the role of norm constraints in portfolio selection

  • Jun-ya Gotoh

    ()

  • Akiko Takeda

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10287-011-0130-2
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    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
    DOI: 10.1007/s10287-011-0130-2
    Contact details of provider: Web page: http://www.springer.com

    Order Information: Web: http://www.springer.com/business+%26+management/operations+research/journal/10287/PS2

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    1. 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.
    2. 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.
    3. Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
    4. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    5. Ledoit, Olivier & Wolf, Michael, 2000. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS 10089, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. 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.
    7. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
    8. 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.
    9. Bénédicte Vidaillet & V. D'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    10. Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, vol. 9(1), pages 31-62, February.
    11. 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.
    12. 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.
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