A practical guide to robust portfolio optimization
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
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- Constructing uncertainty sets for robust linear optimization
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Cited in
(18)- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Robust ranking and portfolio optimization
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Global minimum variance portfolios under uncertainty: a robust optimization approach
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- Distributionally robust end-to-end portfolio construction
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- Exploring parsimonious principles that unify active portfolio selection (I): model
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