Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
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Publication:1991930
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Cited in
(11)- Data-driven robust chance constrained problems: a mixture model approach
- Stock market prediction and portfolio selection models: a survey
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
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- Distributionally robust end-to-end portfolio construction
- Integrating prediction in mean-variance portfolio optimization
- Distributionally robust optimization with generalized total variation ambiguity sets
- Estimation of expected return integrating real-time asset prices implied information and historical data
- A sparse chance constrained portfolio selection model with multiple constraints
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