On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
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Cites work
- scientific article; zbMATH DE number 1909499 (Why is no real title available?)
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Ambiguous chance constrained problems and robust optimization
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Modeling, measuring and managing risk
- Multiple tests for the performance of different investment strategies
- On Choosing and Bounding Probability Metrics
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Robust portfolios: contributions from operations research and finance
- Stability of a 4th-order curvature condition arising in optimal transport theory
- Theory and applications of robust optimization
Cited in
(10)- Robust mean-variance portfolio through the weighted L^p depth function
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- A survey of decision making and optimization under uncertainty
- Robust investment strategies with two risky assets
- Equally weighted cardinality constrained portfolio selection via factor models
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Robust portfolio optimization: a categorized bibliographic review
- Second-order uncertainty and naive diversification
- Naive versus optimal diversification: tail risk and performance
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