Recent developments in robust portfolios with a worst-case approach
From MaRDI portal
Publication:2247918
DOI10.1007/s10957-013-0329-1zbMath1300.91045OpenAlexW2043602045MaRDI QIDQ2247918
Publication date: 30 June 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-013-0329-1
Related Items
Robust portfolio optimization: a categorized bibliographic review, Recent advancements in robust optimization for investment management, Robust equity portfolio performance, Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization, Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach, Goal-based investing based on multi-stage robust portfolio optimization, Is being ``robust beneficial? A perspective from the Indian market, Best-case scenario robust portfolio: evidence from China stock market, Distributionally robust end-to-end portfolio construction, ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION, A review on ambiguity in stochastic portfolio optimization, Relative Robust Portfolio Optimization with benchmark regret, Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200, Robust trade-off portfolio selection, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, A relative robust approach on expected returns with bounded CVaR for portfolio selection, An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution, An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets, Robust multiobjective portfolio optimization: A minimax regret approach, Quantitative portfolio selection: using density forecasting to find consistent portfolios, The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors, Time-consistency of optimal investment under smooth ambiguity, Bayesian Portfolio Optimization for Electricity Generation Planning, Pricing and hedging in incomplete markets with model uncertainty, Portfolio selection problems with Markowitz's mean-variance framework: a review of literature, 60 years of portfolio optimization: practical challenges and current trends, Robust portfolios that do not tilt factor exposure, A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models, A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems, A practical guide to robust portfolio optimization
Cites Work
- Unnamed Item
- Unnamed Item
- Robust optimization and portfolio selection: the cost of robustness
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Robust linear optimization under general norms.
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Robust portfolios: contributions from operations research and finance
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Robust solutions of uncertain linear programs
- Computing efficient frontiers using estimated parameters
- Multi-stage stochastic linear programs for portfolio optimization
- Robust convex quadratically constrained programs
- An interior-point method for a class of saddle-point problems
- Robust portfolio selection with a combined WCVaR and factor model
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust asset allocation
- What do robust equity portfolio models really do?
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Robust portfolios that do not tilt factor exposure
- Coherent Measures of Risk
- Robust Convex Optimization
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Constructing Risk Measures from Uncertainty Sets
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- Theory and Applications of Robust Optimization
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- A Robust Optimization Perspective on Stochastic Programming
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- The Price of Robustness
- Robust Solutions to Uncertain Semidefinite Programs
- Introduction to Stochastic Programming
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Ambiguity in portfolio selection
- Common risk factors in the returns on stocks and bonds
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Robust Portfolio Selection Problems
- Robust portfolio selection using linear-matrix inequalities
