Robust portfolio optimization with derivative insurance guarantees (Q531475): Difference between revisions

@@ Property / author @@
-Berc Rustem
@@ Property / author: Berc Rustem / rank @@
-Normal rank
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+Berc Rustem
@@ Property / author: Berc Rustem / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2010.09.027
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+W1972539754
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@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
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+Coherent Measures of Risk
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+Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
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+Q4496020
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+Robust Convex Optimization
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+Robust multiperiod portfolio management in the presence of transaction costs
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+Portfolio Selection with Robust Estimation
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+Robust Portfolio Selection Problems
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+Minimax hedging strategy
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+Applications of second-order cone programming
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+Robust One-Period Option Hedging
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+Risk and asset allocation.
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+Q4779122
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+Robust asset allocation
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