Robust asset allocation
From MaRDI portal
Publication:2386659
DOI10.1023/B:ANOR.0000045281.41041.edzbMath1090.90125OpenAlexW2033500977MaRDI QIDQ2386659
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
Related Items
Robust and reliable portfolio optimization formulation of a chance constrained problem ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION ⋮ Recent advancements in robust optimization for investment management ⋮ Robust risk budgeting ⋮ Robust equity portfolio performance ⋮ Robustness-based approach for fuzzy multi-objective problems ⋮ Robust portfolio selection under norm uncertainty ⋮ Robust CCMV model with short selling and risk-neutral interest rate ⋮ Regularized robust optimization: the optimal portfolio execution case ⋮ Robust portfolio selection based on asymmetric measures of variability of stock returns ⋮ Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization ⋮ Methods for minimax estimation under elementwise covariance uncertainty ⋮ Data-driven distributionally robust risk parity portfolio optimization ⋮ Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach ⋮ Optimal asset allocation: risk and information uncertainty ⋮ Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation ⋮ Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Sparse and robust mean-variance portfolio optimization problems ⋮ What do robust equity portfolio models really do? ⋮ Inseparable robust reward-risk optimization models with distribution uncertainty ⋮ Capital asset pricing model under distribution uncertainty ⋮ A successive SDP-NSDP approach to a robust optimization problem in finance ⋮ Is being ``robust beneficial? A perspective from the Indian market ⋮ Factor-based robust index tracking ⋮ Delegated portfolio management under ambiguity aversion ⋮ Robust portfolio optimization with a hybrid heuristic algorithm ⋮ A framework for optimization under ambiguity ⋮ Distributionally robust end-to-end portfolio construction ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions ⋮ ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION ⋮ A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Robust optimization and portfolio selection: the cost of robustness ⋮ Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set ⋮ Generalized risk parity portfolio optimization: an ADMM approach ⋮ A robust mean absolute deviation model for portfolio optimization ⋮ Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments ⋮ Portfolio selection under model uncertainty: a penalized moment-based optimization approach ⋮ Robust portfolio optimization: a conic programming approach ⋮ A closed-form solution for robust portfolio selection with worst-case CVaR risk measure ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Robust trade-off portfolio selection ⋮ The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation ⋮ CVaR robust mean-CVaR portfolio optimization ⋮ Stability advances in robust portfolio optimization under parallelepiped uncertainty ⋮ Generalized semi-infinite programming: a tutorial ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Robust mean variance optimization problem under Rényi divergence information ⋮ Distributed algorithm for robust resource allocation with polyhedral uncertain allocation parameters ⋮ A VaR Black–Litterman model for the construction of absolute return fund-of-funds ⋮ Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ Recent developments in robust portfolios with a worst-case approach ⋮ The dynamic Black-Litterman approach to asset allocation ⋮ An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets ⋮ A more human-like portfolio optimization approach ⋮ Robust portfolio asset allocation and risk measures ⋮ Robust multiobjective portfolio optimization: A minimax regret approach ⋮ How to solve a semi-infinite optimization problem ⋮ Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints ⋮ Robust portfolio optimization with derivative insurance guarantees ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ Robust portfolio selection for index tracking ⋮ Interval uncertainty-based robust optimization for convex and non-convex quadratic programs with applications in network infrastructure planning ⋮ Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation ⋮ Asset allocation using reliability method ⋮ A unified model for regularized and robust portfolio optimization ⋮ Robust portfolio asset allocation and risk measures ⋮ 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 ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Robust portfolios: contributions from operations research and finance ⋮ Parameter-free robust optimization for the maximum-Sharpe portfolio problem ⋮ Log-robust portfolio management with parameter ambiguity ⋮ 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 ⋮ Robust multiobjective optimization \& applications in portfolio optimization ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ Worst-case robust Omega ratio ⋮ Multi-period portfolio optimization with linear control policies ⋮ Robustness properties of mean-variance portfolios ⋮ Mean–variance portfolio optimization with parameter sensitivity control† ⋮ ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES ⋮ Risk parity portfolio optimization under a Markov regime-switching framework ⋮ Un-diversifying during crises: is it a good idea? ⋮ Portfolio selection under distributional uncertainty: a relative robust CVaR approach ⋮ On the uncertainty of VaR of individual risk ⋮ A practical guide to robust portfolio optimization
This page was built for publication: Robust asset allocation