Robust portfolio asset allocation and risk measures (Q5901149): Difference between revisions

@@ Property / describes a project that uses @@
+ROME
@@ Property / describes a project that uses: ROME / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10288-010-0125-9
+Normal rank
@@ Property / OpenAlex ID @@
+W1986415480
@@ Property / OpenAlex ID: W1986415480 / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q4496016
@@ Property / cites work: Q4496016 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Computing efficient frontiers using estimated parameters
+Normal rank
@@ Property / cites work @@
+An Interior Point Algorithm for Large-Scale Nonlinear Programming
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Robust Estimation
@@ Property / cites work: Portfolio Selection with Robust Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Non-additive measure and integral
@@ Property / cites work: Non-additive measure and integral / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+An interior-point method for a class of saddle-point problems
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization
@@ Property / cites work: Robust portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of second-order cone programming
@@ Property / cites work: Applications of second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
+Normal rank
@@ Property / cites work @@
+Handbook of semidefinite programming. Theory, algorithms, and applications
+Normal rank
@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
+Normal rank
@@ Property / cites work @@
+Semidefinite optimization
@@ Property / cites work: Semidefinite optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Semidefinite Programming
@@ Property / cites work: Semidefinite Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Q5429818
@@ Property / cites work: Q5429818 / rank @@
+Normal rank
@@ Property / cites work @@
+The Dual Theory of Choice under Risk
@@ Property / cites work: The Dual Theory of Choice under Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank