Optimization Online


Experiments in Robust Portfolio Optimization

Daniel Bienstock (dano***at***columbia.edu)

Abstract: We present experimental results on portfolio optimization problems with return errors under the robust optimization framework. We use several a histogram-like 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.

Keywords: robust optimization, integer programming, value-at-risk, portfolio optimization

Category 1: Robust Optimization

Category 2: Integer Programming ((Mixed) Integer Nonlinear Programming )

Category 3: Applications -- OR and Management Sciences (Finance and Economics )

Citation: Columbia Center for Financial Engineering Report 2007-01 Columbia University, January 2007

Download: [PDF]

Entry Submitted: 02/16/2007
Entry Accepted: 02/20/2007
Entry Last Modified: 02/27/2007

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society