Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (Q425328): Difference between revisions

@@ Property / cites work @@
+Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
+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 to Least-Squares Problems with Uncertain Data
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4324980
@@ Property / cites work: Q4324980 / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank
@@ Property / cites work @@
+Robust portfolio selection under downside risk measures
+Normal rank
@@ Property / cites work @@
+Portfolio selection with uncertain exit time: a robust CVaR approach
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+An interior-point method for a class of saddle-point problems
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio selection based on a joint ellipsoidal uncertainty set
+Normal rank
@@ Property / cites work @@
+A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
+Normal rank
@@ Property / cites work @@
+Robust One-Period Option Hedging
@@ Property / cites work: Robust One-Period Option Hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization with derivative insurance guarantees
+Normal rank
@@ Property / cites work @@
+Q3134873
@@ Property / cites work: Q3134873 / rank @@
+Normal rank
@@ Property / cites work @@
+Linear Matrix Inequalities in System and Control Theory
+Normal rank
@@ Property / cites work @@
+Matrix Analysis
@@ Property / cites work: Matrix Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank