On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
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Publication:1621908
DOI10.1007/S10479-017-2619-8zbMATH Open1417.91475OpenAlexW2753198323MaRDI QIDQ1621908FDOQ1621908
Mustafa Ç. Pınar, A. Burak Paç
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/s10479-017-2619-8
conditional value-at-riskrobust portfolio optimizationambiguous and unambiguous assetsworst-case risk measuresnaïve diversification
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- On Choosing and Bounding Probability Metrics
- Theory and Applications of Robust Optimization
- Ambiguous chance constrained problems and robust optimization
- 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
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Multiple tests for the performance of different investment strategies
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
Cited In (7)
- Robust mean-variance portfolio through the weighted \(L^p\) depth function
- A survey of decision making and optimization under uncertainty
- 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
- Naive versus optimal diversification: tail risk and performance
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