Global minimum variance portfolios under uncertainty: a robust optimization approach
DOI10.1007/S10898-019-00859-XzbMATH Open1440.90039OpenAlexW3005254387MaRDI QIDQ2301190FDOQ2301190
Authors: Yanyan Li 
Publication date: 28 February 2020
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10316/88869
Recommendations
global minimum variance portfolioportfolio selectionrobust optimizationmulti-objectiverelative robustnessabsolute robustness
Multi-objective and goal programming (90C29) Portfolio theory (91G10) Robustness in mathematical programming (90C17)
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Cited In (13)
- Recent advancements in robust optimization for investment management
- Robust equity portfolio performance
- An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
- Relative robust portfolio optimization with benchmark regret
- Robustness of stable volatility strategies
- A practical guide to robust portfolio optimization
- Portfolio selection with robust estimation
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- International portfolio optimization based on uncertainty theory
- Robust portfolio optimization with a hybrid heuristic algorithm
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