A VaR Black–Litterman model for the construction of absolute return fund-of-funds (Q4911225): Difference between revisions

@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+Robust portfolio selection using linear-matrix inequalities
+Normal rank
@@ Property / cites work @@
+Conditional and dynamic convex risk measures
@@ Property / cites work: Conditional and dynamic convex risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Benchmarking optimization software with performance profiles.
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stable distributions in the Black–Litterman approach to asset allocation
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Updating the Inverse of a Matrix
@@ Property / cites work: Updating the Inverse of a Matrix / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Programming Model
@@ Property / cites work: A Stochastic Programming Model / rank @@
+Normal rank
@@ Property / cites work @@
+Higher moment coherent risk measures
@@ Property / cites work: Higher moment coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with linear and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+LP solvable models for portfolio optimization: a classification and computational comparison
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank