A Semidefinite Programming Approach to Portfolio Optimization

被引：0

作者：

Fonseca, Raquel J. ^{[1
]}

Wiesemann, Wolfram ^{[1
]}

Rustem, Berc ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Comp, London, England

来源：

21ST EUROPEAN SYMPOSIUM ON COMPUTER AIDED PROCESS ENGINEERING | 2011年 / 29卷

关键词：

semidefinite programming; robust optimization; international portfolio optimization; risk management; ROBUST SOLUTIONS;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The application of robust optimization techniques to an international portfolio allocation problem introduces non-linearities in the model. These stem from the triangulation requirement of the foreign exchange rates and the product of the local asset and the currency returns. We show that, by making appropriate assumptions regarding the formulation of the uncertainty sets, the proposed model has a semidefinite programming formulation and can be solved efficiently.

引用

页码：472 / 476

页数：5

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