ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES (Q3100750): Difference between revisions

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+https://doi.org/10.1111/j.1467-9965.2010.00448.x
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+W3043813494
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+Robust Convex Optimization
@@ Property / cites work: Robust Convex Optimization / rank @@
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+Robust solutions of linear programming problems contaminated with uncertain data
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+An analog of the minimax theorem for vector payoffs
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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+State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
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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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+Recursive multiple-priors.
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+Intertemporal Asset Pricing under Knightian Uncertainty
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+Maxmin expected utility with non-unique prior
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+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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+Robust utility maximization for complete and incomplete markets
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+Q3245635
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+Regret aversion and opportunity dependence
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+A Smooth Model of Decision Making under Ambiguity
@@ Property / cites work: A Smooth Model of Decision Making under Ambiguity / rank @@
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+Recursive smooth ambiguity preferences
@@ Property / cites work: Recursive smooth ambiguity preferences / rank @@
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+Convex Programming and Duality in Normed Space
@@ Property / cites work: Convex Programming and Duality in Normed Space / rank @@
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+Robust Control of Markov Decision Processes with Uncertain Transition Matrices
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+The Theory of Statistical Decision
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+Optimal Investments for Robust Utility Functionals in Complete Market Models
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+Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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+Axioms for minimax regret choice correspondences
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+Robust asset allocation
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+Q5800557
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