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 ...

The problem of estimating the variance of the ratio estimator in sampling with probability proportional to aggregate size is investigated. The form of nonnegative unbiased variance estimators is found ...

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).