| Article ID: | iaor20033001 |
| Country: | Netherlands |
| Volume: | 116 |
| Issue: | 3 |
| Start Page Number: | 559 |
| End Page Number: | 590 |
| Publication Date: | Mar 2003 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Ttnc R.H., Halldrsson B.V. |
| Keywords: | portfolio management, saddle points |
We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio selection model.