This paper analyzes the numerical stability of Markowitz portfolio optimization model, by
identifying and studying a source of instability, that strictly depends on the mathematical …

The envelope formula is obtained for optimization problems with positively homogeneous
convex functionals defined on a space of random variables. Those problems include linear …

In this paper, the performance of the optimal portfolio is studied when the portfolio
optimization model is sensitive towards the expected rate of return of the assets. It is justified …

Risk assessment and selection of project portfolios are carried out under uncertainty, since
this process uses historical data that can be adjusted in the future. The problem is whether …

This thesis is about the concept of diversification and its measurement in portfolio theory.
Diversification is one of the major components of portfolio theory. It helps to reduce or …

In 2016 López de Prado developed the Hierarchical Risk Parity (HRP), a risk-based portfolio
optimization algorithm that uses graph theory and machine learning to construct diversified …

Perturbation analysis of the equality constrained quadratic programming is considered. We
present two different perturbation bounds to explore underlying factors for affecting the …

We consider the bicriteria investment Boolean problem of finding the Pareto set based on
efficiency and risk criteria. The quantitative stability characteristics of the problem are …

In dynamic minimum variance portfolio, we study the impact of the sequence of covariance
matrices taken in inputs, on the realized variance of the portfolio computed along a sample …

The treatment of uncertainties is a fundamental problem in the financial context, and more
precisely in portfolio optimisation. The variables studied are often time dependent, with …