Mathematics of Operations Research
A model for portfolio selection with order of expected returns
Computers and Operations Research
Robust Solutions to Uncertain Semidefinite Programs
SIAM Journal on Optimization
Robust portfolio selection problems
Mathematics of Operations Research
Convex Optimization
Tractable Approximations to Robust Conic Optimization Problems
Mathematical Programming: Series A and B
Probabilistic design of integrated circuits with correlated input parameters
IEEE Transactions on Computer-Aided Design of Integrated Circuits and Systems
Robust solutions of uncertain linear programs
Operations Research Letters
Robust profit opportunities in risky financial portfolios
Operations Research Letters
Hi-index | 0.98 |
This paper proposes a numerical method for the asset allocation problem based on the conventional Advanced First-Order Second Moment (AFOSM) reliability analysis. The proposed method separates the space of decision problems from the space of uncertain returns. By this separation, an uncertain asset allocation problem can be converted into two recursive optimization problems. One is defined in the space of random returns and the other in the space of decision variables. The proposed method can accept general objective functions like nonlinear utility functions, nonlinear loss functions or nonlinear transaction costs. An adaptive algorithm is designed to find the solution of the recursive models. The convergence of the algorithm is also proven. Numerical illustrations are included in support of the theory and Monte Carlo simulation is used to evaluate the quality of solutions.