Robust empirical optimization is almost the same as mean-variance optimization (Q2417186): Difference between revisions

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+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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+Data-driven robust optimization
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+Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
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+Robust Sensitivity Analysis for Stochastic Systems
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+Conditional value-at-risk in portfolio optimization: coherent but fragile
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+Q5638112
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+On general minimax theorems
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+Likelihood robust optimization for data-driven problems
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