Recent developments in robust portfolios with a worst-case approach

From MaRDI portal
Publication:2247918

DOI10.1007/s10957-013-0329-1zbMath1300.91045OpenAlexW2043602045MaRDI QIDQ2247918

Yanyan Li

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 (30)

Robust portfolio optimization: a categorized bibliographic reviewRecent advancements in robust optimization for investment managementRobust equity portfolio performanceConvergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimizationGlobal minimum variance portfolio optimisation under some model risk: a robust regression-based approachGoal-based investing based on multi-stage robust portfolio optimizationIs being ``robust beneficial? A perspective from the Indian marketBest-case scenario robust portfolio: evidence from China stock marketDistributionally robust end-to-end portfolio constructionON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATIONA review on ambiguity in stochastic portfolio optimizationRelative Robust Portfolio Optimization with benchmark regretDoes marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200Robust trade-off portfolio selectionData-driven robust mean-CVaR portfolio selection under distribution ambiguityA relative robust approach on expected returns with bounded CVaR for portfolio selectionAn exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distributionAn adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty setsRobust multiobjective portfolio optimization: A minimax regret approachQuantitative portfolio selection: using density forecasting to find consistent portfoliosThe surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errorsTime-consistency of optimal investment under smooth ambiguityBayesian Portfolio Optimization for Electricity Generation PlanningPricing and hedging in incomplete markets with model uncertaintyPortfolio selection problems with Markowitz's mean-variance framework: a review of literature60 years of portfolio optimization: practical challenges and current trendsRobust portfolios that do not tilt factor exposureA Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor ModelsA symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problemsA practical guide to robust portfolio optimization



Cites Work


This page was built for publication: Recent developments in robust portfolios with a worst-case approach