On robust mean-variance portfolios

DOI10.1080/02331934.2015.1132216zbMath1386.91130OpenAlexW2332315911MaRDI QIDQ2810108

Mustafa Çelebi Pinar

Publication date: 31 May 2016

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/36629

zbMATH Keywords

robust optimizationellipsoidal uncertaintymean-variance portfolio theoryadjustable robustness

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (14)

Robust portfolio optimization: a categorized bibliographic review ⋮ Adjusted robust mean-value-at-risk model: less conservative robust portfolios ⋮ Best-case scenario robust portfolio: evidence from China stock market ⋮ Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions ⋮ ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION ⋮ Robust portfolio decisions for financial institutions ⋮ Robust mean variance optimization problem under Rényi divergence information ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution ⋮ Time consistent multi-period robust risk measures and portfolio selection models with regime-switching ⋮ Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix ⋮ Optimal portfolio choice: a minimum expected loss approach ⋮ A robust Sharpe ratio ⋮ Entropy based robust portfolio ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland

Cites Work

• Robust portfolios: contributions from operations research and finance
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• Adjustable robust solutions of uncertain linear programs
• Adjustable robust optimization models for a nonlinear two-period system
• Robust profit opportunities in risky financial portfolios
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Lectures on Modern Convex Optimization
• Robust Convex Optimization
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Portfolio Selection with Robust Estimation
• Theory and Applications of Robust Optimization
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Robust Portfolio Selection Problems

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