Recent developments in robust portfolios with a worst-case approach (Q2247918): Difference between revisions

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+Computing efficient frontiers using estimated parameters
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+Sensitivity Analysis for Mean-Variance Portfolio Problems
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+Introduction to Stochastic Programming
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+Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
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+Robust Solutions to Least-Squares Problems with Uncertain Data
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+Robust Solutions to Uncertain Semidefinite Programs
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+Robust solutions of uncertain linear programs
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+Robust Convex Optimization
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+Robust convex quadratically constrained programs
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+Theory and Applications of Robust Optimization
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+Q3182207
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+A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
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+An interior-point method for a class of saddle-point problems
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+Robust Portfolio Selection Problems
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+Robust asset allocation
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+Robust portfolio selection using linear-matrix inequalities
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+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
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+Robust portfolio selection based on a joint ellipsoidal uncertainty set
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+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+Robust portfolios: contributions from operations research and finance
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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+A Robust Optimization Perspective on Stochastic Programming
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+Robust portfolio selection with uncertain exit time using worst-case VaR strategy
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+Coherent Measures of Risk
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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+Portfolio selection with uncertain exit time: a robust CVaR approach
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Constructing Risk Measures from Uncertainty Sets
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+Robust portfolio optimization with a generalized expected utility model under ambiguity
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+Robust portfolio selection with a combined WCVaR and factor model
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+Common risk factors in the returns on stocks and bonds
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+Ambiguity in portfolio selection
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+The Price of Robustness
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+Robust optimization and portfolio selection: the cost of robustness
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+Robust linear optimization under general norms.
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+What do robust equity portfolio models really do?
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+Robust portfolios that do not tilt factor exposure
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+Q4496020
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+Multi-stage stochastic linear programs for portfolio optimization
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+Robust multiperiod portfolio management in the presence of transaction costs
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