International portfolio management with affine policies (Q1927003): Difference between revisions

@@ Property / author @@
+Berc Rustem
@@ Property / author: Berc Rustem / rank @@
+Normal rank
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+SDPT3
@@ Property / describes a project that uses: SDPT3 / rank @@
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@@ Property / describes a project that uses @@
+YALMIP
@@ Property / describes a project that uses: YALMIP / rank @@
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+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.2012.06.001
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@@ Property / OpenAlex ID @@
+W2012309508
@@ Property / OpenAlex ID: W2012309508 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Adjustable robust solutions of uncertain linear programs
+Normal rank
@@ Property / cites work @@
+A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization
+Normal rank
@@ Property / cites work @@
+Introduction to Stochastic Programming
@@ Property / cites work: Introduction to Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Computing efficient frontiers using estimated parameters
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio optimization with linear control policies
+Normal rank
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+Parameter estimation with expected and residual-at-risk criteria
+Normal rank
@@ Property / cites work @@
+A Linear Decision-Based Approximation Approach to Stochastic Programming
+Normal rank
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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
@@ Property / cites work: Robust international portfolio management / rank @@
+Normal rank
@@ Property / cites work @@
+On decision rules in stochastic programming
@@ Property / cites work: On decision rules in stochastic programming / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimization and portfolio selection: the cost of robustness
+Normal rank
@@ Property / cites work @@
+Worst-case robust decisions for multi-period mean-variance portfolio optimization
+Normal rank
@@ Property / cites work @@
+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Dynamic mean-variance portfolio analysis under model risk
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+Primal and dual linear decision rules in stochastic and robust optimization
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@@ Property / cites work @@
+Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
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@@ Property / cites work @@
+Q4779122
@@ Property / cites work: Q4779122 / rank @@
+Normal rank
@@ Property / cites work @@
+SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
+Normal rank
@@ Property / cites work @@
+A dynamic stochastic programming model for international portfolio management
+Normal rank
@@ Property / cites work @@
+Solving semidefinite-quadratic-linear programs using SDPT3
+Normal rank
@@ Property / cites work @@
+Semidefinite Programming
@@ Property / cites work: Semidefinite Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank