Robust portfolio selection under downside risk measures (Q3650968): Difference between revisions

@@ Property / author @@
-Shu-Shang Zhu
@@ Property / author: Shu-Shang Zhu / rank @@
-Normal rank
@@ Property / author @@
-Shou-Yang Wang
@@ Property / author: Shou-Yang Wang / rank @@
-Normal rank
@@ Property / author @@
+Shu-Shang Zhu
@@ Property / author: Shu-Shang Zhu / rank @@
+Normal rank
@@ Property / author @@
+Shou-Yang Wang
@@ Property / author: Shou-Yang Wang / rank @@
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@@ Property / describes a project that uses @@
+RiskMetrics
@@ Property / describes a project that uses: RiskMetrics / rank @@
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@@ Property / describes a project that uses @@
+SeDuMi
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680902852746
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+W1971209382
@@ Property / OpenAlex ID: W1971209382 / rank @@
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@@ Property / Wikidata QID @@
+Q57445466
@@ Property / Wikidata QID: Q57445466 / rank @@
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@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimization-methodology and applications
@@ Property / cites work: Robust optimization-methodology and applications / rank @@
+Normal rank
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+Shortfall as a risk measure: properties, optimization and applications
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+Optimal Inequalities in Probability Theory: A Convex Optimization Approach
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+Formulation of the Russell-Yasuda Kasai Financial Planning Model
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+Robust portfolio selection using linear-matrix inequalities
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+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+Ambiguous chance constrained problems and robust optimization
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+Foundations of risk measurement. II. Effects of gains on risk
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+Foundations of Risk Measurement. I. Risk As Probable Loss
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+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
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+Variance vs downside risk: Is there really that much difference?
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+An interior-point method for a class of saddle-point problems
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+Portfolio selection with uncertain exit time: a robust CVaR approach
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+Portfolio optimization under lower partial risk measures
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+Applications of second-order cone programming
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+Safety First and the Holding of Assets
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+Discrete-Time Financial Planning Models Under Loss-Averse Preferences
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+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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+Semidefinite Programming
@@ Property / cites work: Semidefinite Programming / rank @@
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