Optimization of Tracking Error for Robust Portfolio of Risk Assets with Transaction Cost

Show more

References

[1] Markowitz H.M., “Portfolio selection,” Journal of Finance, Vol. 7, 1952, pp. 77-91.

[2] Ben A.,Nemirovski A., “Robust optimization-methodology and applications,” Mathematics Program, Vol. 92, 2002, pp. 889-909.

[3] Ben-Tal A. and Nemirovski A., “Ro-bust convex optimization,” Mathematics of Operations Research, Vol. 23, 1998, pp. 769-805.

[4] Chen W. and Tan,S.H., “Robust portfolio selection based on asymme-tric measures of variability of stock returns,” Journal of Computational and Applied Mathematics, Vol. 232, 2009, pp. 295-304.

[5] Goldfarb D.and Iyengar G., “Robust portfolio selection problems,” Mathematics of Operations Research, Vol. 97, 2003, pp. 1-38.

[6] Lobo Vandenberghe L, Boyd S. and Lebert H., “Second-order cone programming: Interior-point methods and engineering applications,” Linear Algebra Application, Vol. 284, 1998, pp. 193-228.

[7] Pinara M. C.,Tutuncu R H., “Robust Profit Opportunities in Risky Financial Porfolios,” Operations Research Letters, Vol. 33, 2005, pp. 331-340.

[8] Lu Zhaosong, “Robust portfolio selection based on a joint ellipsoidal uncertainty set,” Optimization Methods and Software, Vol. 26, 2011, pp. 89-104.

[9] Fabozzi F.J., Petr N.K., Dessislava A.P. and Sergio M.F., “Robust portfolio optimization,” The journal of Portfolio Management, 2007, pp. 40-48.

[10] Roll R., “A mean - variance analysis of tracking error,” Journal of Portfolio Management, Vol. 18, 1992, pp. 13- 22.

[11] Soyster A.L., “Convex programming with set inclusive constraints and applications to inexact linear program-ming,” Operations Research, Vol. 21, 1973, pp. 1154-1157.

[12] Costa O.L.V. and Paiva A.C., “Robust portfolio selection using linear-matrix inequalities,” Journal of Economic Dynamics and Control, Vol. 26, 2002, pp. 889-909.

[13] Bertsimas D. and Pachamanova D., “Robust multiperiod portfolio management in the presence of transaction costs,” Computers and Operations Research, Vol. 35, 2008, pp. 3-17.

[14] Hong-Gang Xue. Cheng-Xian Xu. and Zong-Xian Feng, “Mean–variance portfolio optimal problem under concave transaction cost,” Applied Mathematics and Computation, Vol. 174, 2006, pp. 1-12.

[15] Erdogany E., Goldfarb D. and Iyengar G., “Robust active portfolio Management,” Department of Industrial Engineering and Operations Research, Columbia University, USA, CORC Technical Report TR-2004-11, Nov.2006. http://www.corc.ieor.colimbia.edu/reports/techreports/tr-2004-11.pdf.