Robust optimization for portfolio selection

Garud Iyengar
Columbia University

In this talk we will survey our recent and past efforts in modeling portfolio selection problems as robust optimization problems. In particular, we will discuss robust counterparts of mean-variance portfolio selection, defined benefit pension planning, cash flow management, and mean-CVaR portfolio selection. Parts of this talk are joint work with Emre Erdogan, Alfred Ma, Anuj Kumar and Serhat Aybat

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