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Robust Portfolio Selection under Ellipsoidal Uncertainty
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    Abstract:

    A study of the portfolio selection using CVaR strategy with data uncertainty was conducted.Ways to formulate and solve robust portfolio selection problems based on recent progress in robust optimization were proposed.By using statistic theory and time series techniques,we constructed an ellipsoidal uncertainty set which contained the most possible realizations of uncertain parameters.Then the original problem was converted to a deterministic problem which could obtain a solution good for the most possible r...

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