Data-driven distributionally robust risk parity portfolio optimization
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Cites work
- A Minimax Theorem with Applications to Machine Learning, Signal Processing, and Finance
- A new metric for probability distributions
- A Nonmonotone Line Search Technique for Newton’s Method
- Algorithms for the solution of stochastic dynamic minimax problems
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Computing efficient frontiers using estimated parameters
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Divergence measures based on the Shannon entropy
- Frameworks and results in distributionally robust optimization
- Generalized risk parity portfolio optimization: an ADMM approach
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- Introduction to stochastic programming.
- JuMP: a modeling language for mathematical optimization
- Least-squares approach to risk parity in portfolio selection
- Lectures on stochastic programming. Modeling and theory.
- Minimax analysis of stochastic problems
- Nonmonotone Spectral Projected Gradient Methods on Convex Sets
- On a Class of Minimax Stochastic Programs
- On the Goldstein-Levitin-Polyak gradient projection method
- Projected Barzilai-Borwein methods for large-scale box-constrained quadratic programming
- Robust asset allocation
- Robust convex optimization
- Robust empirical optimization is almost the same as mean-variance optimization
- Robust optimization
- Robust Portfolio Selection Problems
- Some recent advances in projection-type methods for variational inequalities
- Subgradient methods for saddle-point problems
- The minimax approach to stochastic programming and an illustrative application
- The Price of Robustness
- Two-Point Step Size Gradient Methods
Cited in
(14)- Robust risk budgeting
- Direct data-driven portfolio optimization with guaranteed shortfall probability
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Generalized risk parity portfolio optimization: an ADMM approach
- Robustness to dependency in portfolio optimization using overlapping marginals
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- A cost-effective approach to portfolio construction with range-based risk measures
- Data-Driven Optimization of Reward-Risk Ratio Measures
- Risk parity portfolio optimization under a Markov regime-switching framework
- Distributionally robust end-to-end portfolio construction
- Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
- A modified CTGAN-plus-features-based method for optimal asset allocation
- Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem
- Distributionally robust portfolio optimization under marginal and copula ambiguity
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