Robust portfolio selection based on a joint ellipsoidal uncertainty set

Mathematics

• Portfolio Selection 100%
• Uncertainty 61%
• Programming 16%
• Asset Allocation 15%
• Cone 13%
• Uncertain Parameters 11%
• Portfolio Management 7%
• Transaction Costs 6%
• Model 5%
• Selection Model 5%
• Factor Models 5%
• Confidence Level 5%
• Operations Research 4%
• Confidence Region 4%
• Computational Experiments 4%
• Computational Results 4%
• Engineering 3%
• Unknown 2%
• Demonstrate 2%
• Estimate 1%

Engineering & Materials Science

• Uncertainty 46%
• Cones 23%
• Set theory 11%
• Industrial research 8%
• Industrial engineering 7%
• Engineering research 7%
• Operations research 6%
• Costs 2%
• Experiments 2%