Parameter-free robust optimization for the maximum-Sharpe portfolio problem

DOI10.1016/J.EJOR.2020.11.052MaRDI QIDQ2030537zbMATH OpenOpenAlexFDO

Authors Deepayan Chakrabarti

Publication date 7 June 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2020.11.052

zbMATH Keywords

financeSharpe ratioportfolio optimizationrobust optimization

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Robustness in mathematical programming (90C17)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A well-conditioned estimator for large-dimensional covariance matrices
• An analysis of the hypervolume Sharpe-ratio indicator
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• Estimation for Markowitz Efficient Portfolios
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Portfolio construction by mitigating error amplification: the bounded-noise portfolio
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Portfolio selection with robust estimation
• Regularized estimation of large covariance matrices
• Robust Portfolio Selection Problems
• Robust asset allocation
• Robust portfolio asset allocation and risk measures
• Robust portfolio optimization with copulas
• Robust portfolio optimization: a categorized bibliographic review
• Robust portfolio selection based on a multi-stage scenario tree
• Sparse and stable Markowitz portfolios
• Vast portfolio selection with gross-exposure constraints
• Worst-case robust decisions for multi-period mean-variance portfolio optimization

Cited in

(4)

• Fifty years of portfolio optimization
• Cross validation based transfer learning for cross-sectional non-linear shrinkage: a data-driven approach in portfolio optimization
• Adaptive online portfolio selection with transaction costs
• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming

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