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Robust portfolio selection
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Description: |
We study the solution of mean-variance optimization problems for portfolio selection when the return and risk information is uncertain. We look for robust solutions, that is, solutions guaranteed to be good under all possible realizations of the uncertain parameters. We formulate these problems as saddle-point problems that include positive semidefiniteness constraints. We also develop a polynomial-time interior-point method for their solution.
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| Start Time: |
15:00 |
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Speaker: |
Reha TÌtÌncÌ (Carnegie Mellon University, USA)
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Place: |
Room 5.5
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| Research Groups: |
-Numerical Analysis and Optimization
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See more:
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<Main>
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