This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...

We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).

Marshall Hargrave is a stock analyst and writer with 10+ years of experience covering stocks and markets, as well as analyzing and valuing companies. Dr. JeFreda R. Brown is a financial consultant, ...