椭球不确定集下的投资组合鲁棒优化模型

椭球不确定集下的投资组合鲁棒优化模型作者：安晓敏，罗桂美，ANXiao-min，LUOGui-mei作者单位：湖南大学,数学与计量经济学院,湖南,长沙,410082刊名：湖南大学学报（自然科学版）英文刊名：JOURNALOFHUNANUNIVERSITY(NATURALSCIENCES)年，卷(期)：2010,37(1)参考文献(13条)1.MARKOWITZHMPortfolioselection1952(3)2.ROCKAFELLARRT.URYASEVSOptimizationofconditionalValue-at-Risk2000(3)3.BLACKF.LITTERMANRGlobalportfoliooptimization1992(5)4.BEN-TALA.NEMIROVSKIARobustconvexoptimization1998(4)5.BEN-TALA.NEMIROVSKIARobustsolutionsofuncertainlinearprograms1999(1)6.ELGHAOUIL.LEBRETHRobustsolutionstoleast-squaresproblemswithuncertaindata1997(4)7.LOBOMS.BOYDSTheworst-caseriskofaportfolio20008.TUTUNCURH.KOENIGMRobustassetallocation2004(27)9.GOLDFARBD.IYENGARGRobustportfolioselectionproblems2003(1)10.ELGHAOUIL.OKSM.OUSTRYFWorst-casevalue-at-riskandrobustportfoliooptimization:aconicprogrammingapproach2003(4)11.QUARANTAAG.ZAFFARONIARobustoptimizationofconditionalvalueatriskandportfolioselection2008(10)12.SOYSTERALConvexprogrammingwithset-inclusiveconstraintsandapplicationstoinexactlinearprogramming1973(5)13.KROKHMALP.PALMQUISTJ.URYASEVSPortfoliooptimizationwithconditionalvalueatriskobjectiveandconstraints2002(2)本文链接：://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://://