Recent advancements in robust optimization for investment management
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Publication:1621905
DOI10.1007/s10479-017-2573-5zbMath1400.90234OpenAlexW2745666238MaRDI QIDQ1621905
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2573-5
Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Portfolio theory (91G10)
Related Items (7)
Robust portfolio optimization: a categorized bibliographic review ⋮ The effects of errors in means, variances, and correlations on the mean-variance framework ⋮ Goal-based investing based on multi-stage robust portfolio optimization ⋮ Distributionally robust end-to-end portfolio construction ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ A branch and price approach for the robust bandwidth packing problem with queuing delays ⋮ A practical guide to robust portfolio optimization
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