An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
From MaRDI portal
Publication:1752147
DOI10.1016/j.ejor.2016.05.038zbMath1394.90537OpenAlexW2409556839MaRDI QIDQ1752147
Alexandre Street, Betina Fernandes, Cristiano Fernandes, Davi Michel Valladão
Publication date: 24 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.05.038
Sensitivity, stability, parametric optimization (90C31) Linear programming (90C05) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (8)
Robust portfolio optimization: a categorized bibliographic review ⋮ The effect of regularization in portfolio selection problems ⋮ Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes? ⋮ Robust strategic bidding in auction-based markets ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ Robust optimization of the insecticide-treated bed nets procurement and distribution planning under uncertainty for malaria prevention and control ⋮ A data-driven approach for a class of stochastic dynamic optimization problems
Uses Software
Cites Work
- Robust optimization and portfolio selection: the cost of robustness
- Robust portfolio optimization: a conic programming approach
- Robust linear optimization under general norms.
- Robust portfolios: contributions from operations research and finance
- Robust solutions of uncertain linear programs
- Robust solutions of linear programming problems contaminated with uncertain data
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Recent developments in robust portfolios with a worst-case approach
- Robust portfolio optimization with copulas
- Recent advances in robust optimization: an overview
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust asset allocation
- Tractable approximations to robust conic optimization problems
- Coherent Measures of Risk
- Robust Convex Optimization
- Constructing Risk Measures from Uncertainty Sets
- Constructing Uncertainty Sets for Robust Linear Optimization
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Some properties of a simple moving average when applied to forecasting a time series
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- The Price of Robustness
- Robust Solutions to Uncertain Semidefinite Programs
- MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust Portfolio Selection Problems
- Robust portfolio asset allocation and risk measures
This page was built for publication: An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
