Robust multiobjective portfolio optimization: A minimax regret approach
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Cites work
- scientific article; zbMATH DE number 51430 (Why is no real title available?)
- scientific article; zbMATH DE number 3195782 (Why is no real title available?)
- 60 years of portfolio optimization: practical challenges and current trends
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- What do robust equity portfolio models really do?
Cited in
(30)- A robust ordered weighted averaging loss model for portfolio optimization
- The worst-case discounted regret portfolio optimization problem
- Recent advancements in robust optimization for investment management
- On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
- Relative robust portfolio optimization with benchmark regret
- On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
- A scenario-based robust optimization with a pessimistic approach for nurse rostering problem
- Robust optimization approaches for portfolio selection: a comparative analysis
- The price of multiobjective robustness: analyzing solution sets to uncertain multiobjective problems
- A robust optimization approach for multi-objective linear programming under uncertainty
- Multiobjective optimization, scalarization, and maximal elements of preorders
- A distributional robust minimax regret optimization approach for multi-objective portfolio problems
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Robust portfolio optimization: a categorized bibliographic review
- Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
- Multi-objective optimization using statistical models
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- A new approach for worst-case regret portfolio optimization problem
- Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- An Iterated Dual Substitution Approach for Binary Integer Programming Problems Under the Min-Max Regret Criterion
- Robust pricing for airlines with partial information
- Robust multiobjective optimization \& applications in portfolio optimization
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Robust multi-period and multi-objective portfolio selection
- On approximate solutions and saddle point theorems for robust convex optimization
- Multiobjective optimization under uncertainty: a multiobjective robust (relative) regret approach
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- The impacts of retailers' regret aversion on a random multi-period supply chain network
- An equilibrium model of the supply chain network under multi-attribute behaviors analysis
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