Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
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Publication:2422355
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Cites work
- A dynamic programming approach to adjustable robust optimization
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- Distributionally robust stochastic knapsack problem
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- Robust optimization
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
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Cited in
(18)- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- Distributionally robust optimization. A review on theory and applications
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Partition-based distributionally robust optimization via optimal transport with order cone constraints
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- On robust mean-variance portfolios
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- CVaR robust mean-CVaR portfolio optimization
- Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
- Mean-variance portfolio optimization when means and covariances are unknown
- Globalized distributionally robust optimization problems under the moment-based framework
- A general framework for nonconvex sparse mean-CVaR portfolio optimization via ADMM
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- Robust portfolio optimization: a categorized bibliographic review
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