Robust portfolio selection under norm uncertainty

Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some nu...

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Main Authors:	Lei Wang, Xi Cheng
Format:	Article
Language:	English
Published:	SpringerOpen 2016-06-01
Series:	Journal of Inequalities and Applications
Subjects:	portfolio selection ( p , w ) $(p,w)$ -norm uncertainty set linear optimization problem
Online Access:	http://link.springer.com/article/10.1186/s13660-016-1102-4

id	doaj-2178873b920d479fb5e526e5dd4687c5
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spelling	doaj-2178873b920d479fb5e526e5dd4687c52020-11-25T00:38:34ZengSpringerOpenJournal of Inequalities and Applications1029-242X2016-06-012016111010.1186/s13660-016-1102-4Robust portfolio selection under norm uncertaintyLei Wang0Xi Cheng1Department of Economic Mathematics, Southwestern University of Finance and EconomicsSchool of Geophysics, Chengdu University Of TechnologyAbstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem.http://link.springer.com/article/10.1186/s13660-016-1102-4portfolio selection( p , w ) $(p,w)$ -normuncertainty setlinear optimization problem
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Lei Wang Xi Cheng
spellingShingle	Lei Wang Xi Cheng Robust portfolio selection under norm uncertainty Journal of Inequalities and Applications portfolio selection ( p , w ) $(p,w)$ -norm uncertainty set linear optimization problem
author_facet	Lei Wang Xi Cheng
author_sort	Lei Wang
title	Robust portfolio selection under norm uncertainty
title_short	Robust portfolio selection under norm uncertainty
title_full	Robust portfolio selection under norm uncertainty
title_fullStr	Robust portfolio selection under norm uncertainty
title_full_unstemmed	Robust portfolio selection under norm uncertainty
title_sort	robust portfolio selection under norm uncertainty
publisher	SpringerOpen
series	Journal of Inequalities and Applications
issn	1029-242X
publishDate	2016-06-01
description	Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w ) $(p,w)$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem.
topic	portfolio selection ( p , w ) $(p,w)$ -norm uncertainty set linear optimization problem
url	http://link.springer.com/article/10.1186/s13660-016-1102-4
work_keys_str_mv	AT leiwang robustportfolioselectionundernormuncertainty AT xicheng robustportfolioselectionundernormuncertainty
_version_	1725296811220926464

Robust portfolio selection under norm uncertainty

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