Robust portfolios: contributions from operations research and finance (Q993719): Difference between revisions

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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Q3796553
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+Coherent Measures of Risk
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+Q3861108
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+Robust Convex Optimization
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+Robust solutions of uncertain linear programs
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+Q4496020
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+Statistical decision theory and Bayesian analysis. 2nd ed
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+Computing efficient frontiers using estimated parameters
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+The portfolio choice problem: comparison of certainty equivalence and optimal Bayes portfolios
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+Satisficing Measures for Analysis of Risky Positions
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+Ambiguous Risk Measures and Optimal Robust Portfolios
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+Robust portfolio selection using linear-matrix inequalities
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+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
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+Portfolio Selection with Robust Estimation
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+Robust Solutions to Least-Squares Problems with Uncertain Data
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+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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+Q4343010
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+Convex measures of risk and trading constraints
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+Robust Preferences and Robust Portfolio Choice
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+Robust convex quadratically constrained programs
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+Robust Portfolio Selection Problems
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+A Theory of Disappointment Aversion
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+Portfolio selection with higher moments
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+Portfolio selection with uncertain exit time: a robust CVaR approach
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+Estimation for Markowitz Efficient Portfolios
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+Robust Portfolio Optimisation with Multiple Experts*
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+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
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+Robust Statistics
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+Risk and asset allocation.
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+Finite Sample Properties of Estimators for the Optimal Portfolio Weight
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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
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+Constructing Risk Measures from Uncertainty Sets
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+THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
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+Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
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+Robust profit opportunities in risky financial portfolios
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+Robust Mean-Covariance Solutions for Stochastic Optimization
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+Q3446100
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+DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
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+Optimality conditions in portfolio analysis with general deviation measures
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+Safety First and the Holding of Assets
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+Robust min-max portfolio strategies for rival forecast and risk scenarios
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+Robust portfolio selection based on a multi-stage scenario tree
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+Bayesian Risk Measures for Derivatives via Random Esscher Transform
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+Q3237829
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+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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+Optimal Financial Portfolios
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+Axiomatic Foundations of Multiplier Preferences
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+Robust asset allocation
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+A Minimax Portfolio Selection Rule with Linear Programming Solution
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+Prediction and Decision Problems in Regression Models from the Bayesian Point of View
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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