An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
DOI10.1016/J.EJOR.2016.05.038zbMATH Open1394.90537OpenAlexW2409556839MaRDI QIDQ1752147FDOQ1752147
Authors: Betina Fernandes, Alexandre Street, Davi Michel Valladão, Cristiano Fernandes 
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
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Linear programming (90C05) Portfolio theory (91G10) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Financial applications of other theories (91G80)
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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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