Robust portfolio selection problem under temperature uncertainty
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Publication:1752220
DOI10.1016/j.ejor.2016.05.046zbMath1395.91445OpenAlexW2472380084MaRDI QIDQ1752220
Nalân Gülpinar, Ethem Çanakoğlu
Publication date: 24 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/79816/7/WRAP_1-s2.0-S0377221716303836-main%20%281%29.pdf
Sensitivity, stability, parametric optimization (90C31) Geostatistics (86A32) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (8)
Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Robust optimization approximation for ambiguous P-model and its application ⋮ Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm ⋮ Exploring the financial risk of a temperature index: a fractional integrated approach ⋮ Robust optimal consumption-investment strategy with non-exponential discounting ⋮ Optimizing over Pareto set of semistrictly quasiconcave vector maximization and application to stochastic portfolio selection
Uses Software
Cites Work
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