Robust tracking error portfolio selection with worst-case downside risk measures-Reference-Cited by-同舟云学术

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Robust tracking error portfolio selection with worst-case downside risk measures

Published:2014-02 Issue: Volume:39 Page:178-207
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Ling Aifan,Sun Jie,Yang Xiaoguang

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference51 articles.

1. Active portfolio management with benchmarking;Alexander;J. Econ. Dyn. Control,2008

2. Optimal rules for ordering uncertain prospects;Bawa;J. Financ. Econ.,1975

3. Capital market equilibrium in a mean-lower partial moment framework;Bawa;J. Financ. Econ.,1977

4. Nonlinear Programming;Bazaraa,1993

5. Robust convex optimization;Ben-Tal;Math. Oper. Res.,1998

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