An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
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Publication:1752147
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Cites work
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Cited in
(9)- The effect of regularization in portfolio selection problems
- Robust strategic bidding in auction-based markets
- A data-driven approach for a class of stochastic dynamic optimization problems
- 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
- Robust portfolio optimization: a categorized bibliographic review
- Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
- Distributionally robust portfolio optimization with linearized STARR performance measure
- Robust selling times in adaptive portfolio management
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