Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach - Ghaoui, Laurent El; Oks, Maksim; Oustry, Francois (Operations research, 2003)
Keywords: Analysis; Approximation; Componentwise operations; Covariance; Covariance matrices; Ellipsoids; Finance, portfolio: Value-at-Risk, portfolio optimization; Financial planning; Financial portfolios; Management science; Mathematical models; Mathematical moments; Mathematical vectors; Matrices; Nonlinear programming; Operations research; Optimization; Polytopes; Portfolio management; Probability; Probability distribution; Probability distributions; Programming, nonlinear: semidefinite programming, dualing, robust optimization; Semidefinite programming; Studies; United States