Open access
Aug 2026
Data-Driven Uncertainty Set Construction with ARIMA–GARCH Modeling for Robust Portfolio Optimization
A data-driven framework for constructing polyhedral uncertainty sets that integrates Gaussian mixture models to identify heterogeneous distributional components and ARIMA-GARCH models to capture time-varying volatility dynamics is proposed, providing a statistically grounded, geometrically faithful, and computationally...
D. Setyawan, D. Chaerani, S. Sukono et al.
· Mathematics · 1 citation