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

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+Second-order cone programming
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+Coherent Measures of Risk
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+Robust optimization-methodology and applications
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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
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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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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+Dual Stochastic Dominance and Related Mean-Risk Models
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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
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