Robust asset allocation
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Publication:2386659
DOI10.1023/B:ANOR.0000045281.41041.EDzbMATH Open1090.90125OpenAlexW2033500977MaRDI QIDQ2386659FDOQ2386659
Authors: Yanyan Li 
Publication date: 25 August 2005
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:anor.0000045281.41041.ed
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Cited In (only showing first 100 items - show all)
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Robustness-based approach for fuzzy multi-objective problems
- Delegated portfolio management under ambiguity aversion
- Asset allocation using reliability method
- A successive SDP-NSDP approach to a robust optimization problem in finance
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Recent advancements in robust optimization for investment management
- Robust risk budgeting
- Robust equity portfolio performance
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Log-robust portfolio management with parameter ambiguity
- Time-consistency of optimal investment under smooth ambiguity
- Weighted elastic net penalized mean-variance portfolio design and computation
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- The dynamic Black-Litterman approach to asset allocation
- A framework for optimization under ambiguity
- A unified model for regularized and robust portfolio optimization
- Strategic asset allocation
- Robust portfolio selection based on asymmetric measures of variability of stock returns
- Optimal deviations from an asset allocation.
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- CVaR robust mean-CVaR portfolio optimization
- Robust portfolio selection under norm uncertainty
- What do robust equity portfolio models really do?
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Multi-period portfolio optimization with linear control policies
- Factor-based robust index tracking
- Robust portfolio optimization with derivative insurance guarantees
- Robust portfolios that do not tilt factor exposure
- From sure to strong diversification
- Robust portfolio optimization: a conic programming approach
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Methods for minimax estimation under elementwise covariance uncertainty
- Robust multiobjective portfolio optimization: A minimax regret approach
- Tractable robust expected utility and risk models for portfolio optimization
- Robust optimization and portfolio selection: the cost of robustness
- Robust portfolios: contributions from operations research and finance
- Interval uncertainty-based robust optimization for convex and non-convex quadratic programs with applications in network infrastructure planning
- Robust portfolio optimization: a categorized bibliographic review
- Optimal asset allocation: risk and information uncertainty
- Capital asset pricing model under distribution uncertainty
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- Generalized semi-infinite programming: a tutorial
- Robustness properties of mean-variance portfolios
- Cardinality-constrained distributionally robust portfolio optimization
- A robust mean absolute deviation model for portfolio optimization
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- Regularized robust optimization: the optimal portfolio execution case
- Risk and asset allocation.
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- Robust portfolio asset allocation and risk measures
- Robust mean variance optimization problem under Rényi divergence information
- How to solve a semi-infinite optimization problem
- Robust portfolio selection for index tracking
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Robust asset allocation with benchmarked objectives
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust portfolio optimization with a hybrid heuristic algorithm
- Robust multiobjective optimization \& applications in portfolio optimization
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Recent developments in robust portfolios with a worst-case approach
- Worst-case robust Omega ratio
- Robust asset allocation strategies: relaxed versus classical robustness
- Robust trade-off portfolio selection
- 60 years of portfolio optimization: practical challenges and current trends
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Robust portfolio asset allocation and risk measures
- Robust asset allocation for long-term target-based investing
- Portfolio optimization model with and without options under additional constraints
- Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
- Distributed algorithm for robust resource allocation with polyhedral uncertain allocation parameters
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Robust bond portfolio construction via convex-concave saddle point optimization
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- Data-driven distributionally robust risk parity portfolio optimization
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Risk parity portfolio optimization under a Markov regime-switching framework
- Bounds for portfolio weights in decentralized asset allocation
- Robust optimization approaches for portfolio selection: a comparative analysis
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Globalized distributionally robust optimization problems under the moment-based framework
- Nonconvex robust programming via value-function optimization
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
- Generalized risk parity portfolio optimization: an ADMM approach
- A practical guide to robust portfolio optimization
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Mean-variance portfolio optimization with parameter sensitivity control
- Robust investment management with uncertainty in fund managers' asset allocation
- On the uncertainty of VaR of individual risk
- Robust CCMV model with short selling and risk-neutral interest rate
- Is being ``robust beneficial? A perspective from the Indian market
- Inseparable robust reward-risk optimization models with distribution uncertainty
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