Robust min-max portfolio strategies for rival forecast and risk scenarios
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Publication:1583147
DOI10.1016/S0165-1889(99)00088-3zbMATH Open0967.91026MaRDI QIDQ1583147FDOQ1583147
Authors: R. G. Becker, Berç Rustem, Wolfgang Marty 
Publication date: 26 October 2000
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
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Cites Work
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Cited In (24)
- Multiperiod mean-variance optimization with intertemporal restrictions
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- Mean and variance optimization of non-linear systems and worst-case analysis
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Continuous min-max approach for single period portfolio selection problem
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- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
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- A two-factor, stochastic programming model of Danish mortgage-backed securities
- Robust portfolio selection using linear-matrix inequalities
- Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- A hybrid algorithm for linearly constrained minimax problems
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Robust portfolio optimization with copulas
- Robust trade-off portfolio selection
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