scientific article; zbMATH DE number 1489803

From MaRDI portal
Revision as of 07:32, 7 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4496020

zbMath1016.91055MaRDI QIDQ4496020

Arkadi Nemirovski, Tamar Margalit, Aharon Ben-Tal

Publication date: 13 August 2000


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (39)

Robust and reliable portfolio optimization formulation of a chance constrained problemRobust portfolio optimization: a categorized bibliographic reviewSelecting wood supply contracts under uncertainty using stochastic programmingRegularized robust optimization: the optimal portfolio execution caseRobust multiperiod portfolio management in the presence of transaction costsGoal-based investing based on multi-stage robust portfolio optimizationA robust asset-liability management framework for investment products with guaranteesMultiperiod portfolio investment using stochastic programming with conditional value at riskRobust Investment Management with Uncertainty in Fund Managers’ Asset AllocationSDP reformulation for robust optimization problems based on nonconvex QP dualityFactor-based robust index trackingRobust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty setDeveloping a multi-period robust optimization model considering American style optionsOptimal chance-constrained pension fund management through dynamic stochastic controlA computational study on robust portfolio selection based on a joint ellipsoidal uncertainty setA robust BFGS algorithm for unconstrained nonlinear optimization problemsSur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyensRobust optimization and portfolio selection: the cost of robustnessApplication of robust optimization to the Sawmill planning problemRobust scenario optimization based on downside-risk measure for multi-period portfolio selectionA robust counterpart approach to the bi-objective emergency medical service design problemPortfolio management with robustness in both prediction and decision: a mixture model based learning approachRecent developments in robust portfolios with a worst-case approachTime consistent multi-period robust risk measures and portfolio selection models with regime-switchingRobust portfolio optimization with derivative insurance guaranteesDistributionally Robust Reward-Risk Ratio Optimization with Moment ConstraintsRobust investment decisions under supply disruption in petroleum marketsComparison and robustification of Bayes and Black-Litterman modelsTime-consistency of optimal investment under smooth ambiguityRobust portfolios: contributions from operations research and financeMulti-stage distributionally robust optimization with risk aversionSelected topics in robust convex optimizationPortfolio selection problems with Markowitz's mean-variance framework: a review of literatureRobust Hedging of Electricity Retail Portfolios with CVaR ConstraintsA symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problemsCuts for mixed 0-1 conic programmingMultistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selectionRobust nonlinear optimization with conic representable uncertainty setRobust risk measurement and model risk







This page was built for publication: