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A Linear Matrix Inequalities Approach to Robust Mean-Semivariance Portfolio Optimization

  • Oswaldo L. V. Costa
  • Rodrigo de Barros Nabholz
Part of the Applied Optimization book series (APOP, volume 74)

Abstract

The main goal of this chapter is to formulate a robust mean-semivariance portfolio selection problem in terms of a linear matrix inequalities (LMI) optimization problem. We consider different forms of calculating the mean and semivariance of the tracking error. It is desired to minimize an objective function defined as a convex combination of the risk function minus the expected return of the tracking error.

Keywords

mean-semivariance portfolio optimization linear matrix inequalities computational tool 

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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • Oswaldo L. V. Costa
    • 1
  • Rodrigo de Barros Nabholz
    • 1
  1. 1.Departamento de Engenharia de Telecomunicações e Controle Escola PolitécnicaUniversidade de São PauloBrazil

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