Using SEDUMI library for robust portfolio selection

Abstract

The article presents the principles of robust portfolio optimization. The SEDUMI library was used for problems solution. Modernized versions of the some portfolio selection models are described. The Markowitz, Telser and Black-Ltterman models are overviewed. We compare the results of the efficiency analyses before and after robust optimization. Experiments were conducted at side and growing market trends with highly liquid stocks traded at MICEX. The weak and strong features of the different approaches are reviewed.