Robust optimization and portfolio selection: the cost of robustness (Q421549): Difference between revisions

@@ Property / author @@
-Kenneth Darby-Dowman
@@ Property / author: Kenneth Darby-Dowman / rank @@
-Normal rank
@@ Property / author @@
+Kenneth Darby-Dowman
@@ Property / author: Kenneth Darby-Dowman / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CVX
@@ Property / describes a project that uses: CVX / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2011.02.015
+Normal rank
@@ Property / OpenAlex ID @@
+W3123538377
@@ Property / OpenAlex ID: W3123538377 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Truss Topology Design via Semidefinite Programming
+Normal rank
@@ Property / cites work @@
+Q4496020
@@ Property / cites work: Q4496020 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Convex Optimization
@@ Property / cites work: Robust Convex Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+The Price of Robustness
@@ Property / cites work: The Price of Robustness / rank @@
+Normal rank
@@ Property / cites work @@
+Robust multiperiod portfolio management in the presence of transaction costs
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@@ Property / cites work @@
+Robust portfolio selection based on asymmetric measures of variability of stock returns
+Normal rank
@@ Property / cites work @@
+Robust Solutions to Least-Squares Problems with Uncertain Data
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@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Robust Solutions to Uncertain Semidefinite Programs
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
+Normal rank
@@ Property / cites work @@
+Ambiguity in portfolio selection
@@ Property / cites work: Ambiguity in portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank