In most books on time series analysis, estimators of the variance and autocovariance for a stationary process are discussed under the assumption that the process mean is known. Here we illustrate that ...

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 ...

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).