Robust portfolio optimization: a conic programming approach (Q453610): Difference between revisions

@@ Property / author @@
-Berc Rustem
@@ Property / author: Berc Rustem / rank @@
-Normal rank
@@ Property / author @@
+Berc Rustem
@@ Property / author: Berc Rustem / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SeDuMi
@@ Property / describes a project that uses: SeDuMi / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SDPT3
@@ Property / describes a project that uses: SDPT3 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2051386419
@@ Property / OpenAlex ID: W2051386419 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing efficient frontiers using estimated parameters
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio analysis under model risk
+Normal rank
@@ Property / cites work @@
+Bounds on measures satisfying moment conditions.
@@ Property / cites work: Bounds on measures satisfying moment conditions. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4285035
@@ Property / cites work: Q4285035 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust min-max portfolio strategies for rival forecast and risk scenarios
+Normal rank
@@ Property / cites work @@
+Q4779122
@@ Property / cites work: Q4779122 / rank @@
+Normal rank
@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
+Normal rank
@@ Property / cites work @@
+SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-infinite programming and applications to minimax problems
+Normal rank