Robust portfolio optimization with copulas
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Publication:2256232
DOI10.1016/J.EJOR.2013.12.022zbMATH Open1305.91221OpenAlexW2017332597MaRDI QIDQ2256232FDOQ2256232
Publication date: 19 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.12.022
Convex programming (90C25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cites Work
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Cited In (25)
- Portfolio selection with commodities under conditional copulas and skew preferences
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Robust optimization of mixed CVaR STARR ratio using copulas
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- A review on ambiguity in stochastic portfolio optimization
- Data-driven distributionally robust risk parity portfolio optimization
- Robust optimization approaches for portfolio selection: a comparative analysis
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Robust omega ratio optimization using regular vines
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Robust portfolio optimization: a categorized bibliographic review
- Robust and Pareto optimality of insurance contracts
- Optimal product bundling with dependent valuations: the price of independence
- A concept of copula robustness and its applications in quantitative risk management
- The shifting dependence dynamics between the G7 stock markets
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
- Convergence results for patchwork copulas
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Copula-based Markov process
- On a high-dimensional model representation method based on copulas
- Simulation methods for robust risk assessment and the distorted mix approach
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