Robust hedging strategies (Q1761191): Difference between revisions

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+Adjustable robust solutions of uncertain linear programs
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+Robust Convex Optimization
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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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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+Robust international portfolio management
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+Constructing Risk Measures from Uncertainty Sets
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+Q4226825
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+Computing optimal multi-currency mean-variance portfolios
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+Q4779122
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+Comparison and robustification of Bayes and Black-Litterman models
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+SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
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+A dynamic stochastic programming model for international portfolio management
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@@ Property / cites work @@
+Solving semidefinite-quadratic-linear programs using SDPT3
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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+Publication:1761191