Adjusted robust mean-value-at-risk model: less conservative robust portfolios (Q2401246): Difference between revisions

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-Somayyeh Lotfi
@@ Property / author: Somayyeh Lotfi / rank @@
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+Somayyeh Lotfi
@@ Property / author: Somayyeh Lotfi / rank @@
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@@ Property / cites work @@
+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
+Normal rank
@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Duality in robust optimization: Primal worst equals dual best
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@@ Property / cites work @@
+Lectures on Modern Convex Optimization
@@ Property / cites work: Lectures on Modern Convex Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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+Sensitivity Analysis for Mean-Variance Portfolio Problems
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+Portfolio diversification in the sovereign credit swap markets
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@@ Property / cites work @@
+Portfolio Selection with Robust Estimation
@@ Property / cites work: Portfolio Selection with Robust Estimation / rank @@
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@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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@@ Property / cites work @@
+VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
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@@ Property / cites work @@
+Robust Optimization of Large-Scale Systems
@@ Property / cites work: Robust Optimization of Large-Scale Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
+Normal rank
@@ Property / cites work @@
+Static and dynamic VaR constrained portfolios with application to delegated portfolio management
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@@ Property / cites work @@
+On robust mean-variance portfolios
@@ Property / cites work: On robust mean-variance portfolios / rank @@
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@@ Property / cites work @@
+Robustness properties of mean-variance portfolios
@@ Property / cites work: Robustness properties of mean-variance portfolios / rank @@
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