On robust mean-variance portfolios
From MaRDI portal
Publication:2810108
DOI10.1080/02331934.2015.1132216zbMATH Open1386.91130OpenAlexW2332315911MaRDI QIDQ2810108FDOQ2810108
Authors: Mustafa Ç. Pınar 
Publication date: 31 May 2016
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/36629
Recommendations
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Robust portfolios: contributions from operations research and finance
- Robustness properties of mean-variance portfolios
Cites Work
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Theory and applications of robust optimization
- Robust solutions of uncertain linear programs
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Robust convex optimization
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust Portfolio Selection Problems
- Adjustable robust solutions of uncertain linear programs
- Portfolio selection with robust estimation
- Robust portfolios: contributions from operations research and finance
- Robust profit opportunities in risky financial portfolios
- Adjustable robust optimization models for a nonlinear two-period system
Cited In (34)
- A theory of portfolio revision: robustness and truncation problems
- Dynamic mean-variance portfolio analysis under model risk
- A robust ordered weighted averaging loss model for portfolio optimization
- Optimal portfolio choice: a minimum expected loss approach
- Robust portfolio decisions for financial institutions
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- CVaR robust mean-CVaR portfolio optimization
- Title not available (Why is that?)
- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
- Best-case scenario robust portfolio: evidence from China stock market
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Robust portfolios that do not tilt factor exposure
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Robust portfolios: contributions from operations research and finance
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio optimisation with multiple experts
- Robustness properties of mean-variance portfolios
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- A robust Sharpe ratio
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Entropy based robust portfolio
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Robust mean variance optimization problem under Rényi divergence information
- Robust portfolio control with stochastic factor dynamics
- The robust Merton problem of an ambiguity averse investor
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- Robust Mean-Covariance Solutions for Stochastic Optimization
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
This page was built for publication: On robust mean-variance portfolios
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2810108)
