Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Histogram models for robust portfolio optimization
Daniel Bienstock
Abstract
ABSTRACT
We present experimental results on portfolio optimization problems with return errors under the robust optimization framework.We use a histogramlike model for return deviations and a model that allows correlation among errors, together with a cutting-plane algorithm which proves effective for large, real-life data sets.
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