This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...

Sample size calculations for a continuous outcome require specification of the anticipated variance; inaccurate specification can result in an underpowered or overpowered study. For this reason, ...

We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).