An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets (Q1752147): Difference between revisions

@@ Property / describes a project that uses @@
+XPRESS
@@ Property / describes a project that uses: XPRESS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2016.05.038
+Normal rank
@@ Property / OpenAlex ID @@
+W2409556839
@@ Property / OpenAlex ID: W2409556839 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Convex Optimization
@@ Property / cites work: Robust Convex Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Robust solutions of uncertain linear programs
@@ Property / cites work: Robust solutions of uncertain linear programs / rank @@
+Normal rank
@@ Property / cites work @@
+Robust solutions of linear programming problems contaminated with uncertain data
+Normal rank
@@ Property / cites work @@
+Constructing Uncertainty Sets for Robust Linear Optimization
+Normal rank
@@ Property / cites work @@
+Robust multiperiod portfolio management in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Robust linear optimization under general norms.
@@ Property / cites work: Robust linear optimization under general norms. / rank @@
+Normal rank
@@ Property / cites work @@
+The Price of Robustness
@@ Property / cites work: The Price of Robustness / rank @@
+Normal rank
@@ Property / cites work @@
+Tractable approximations to robust conic optimization problems
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Recent advances in robust optimization: an overview
+Normal rank
@@ Property / cites work @@
+Robust Solutions to Least-Squares Problems with Uncertain Data
+Normal rank
@@ Property / cites work @@
+Robust Solutions to Uncertain Semidefinite Programs
+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 @@
+Robust optimization and portfolio selection: the cost of robustness
+Normal rank
@@ Property / cites work @@
+Some properties of a simple moving average when applied to forecasting a time series
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization with copulas
@@ Property / cites work: Robust portfolio optimization with copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Recent developments in robust portfolios with a worst-case approach
+Normal rank
@@ Property / cites work @@
+Portfolio selection under model uncertainty: a penalized moment-based optimization approach
+Normal rank
@@ Property / cites work @@
+MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
+Normal rank
@@ Property / cites work @@
+Constructing Risk Measures from Uncertainty Sets
@@ Property / cites work: Constructing Risk Measures from Uncertainty Sets / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio asset allocation and risk measures
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization: a conic programming approach
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1752147