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    Robust and Multi-objective Portfolio Selection

    Jiang L 2020.pdf (7.249Mb)
    Access Status
    Open access
    Authors
    Jiang, Lin
    Date
    2020
    Supervisor
    Song Wang
    Type
    Thesis
    Award
    PhD
    
    Metadata
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    Faculty
    Science and Engineering
    School
    School of Electrical Engineering, Computing and Mathematical Sciences
    URI
    http://hdl.handle.net/20.500.11937/82486
    Collection
    • Curtin Theses
    Abstract

    In this thesis, robust and multi-objective portfolio selection problem will be studied. New models and computational algorithms will be developed to solve the proposed models. In particularly, we have studied multi-objective portfolio selection with inexact information on investment return and covariance matrix. The problems have been transformed into easily solvable problems through theoretical analysis. Numerical experiments are presented to validate the methods.

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