Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
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Publication:287620
DOI10.1007/S11750-013-0303-YzbMATH Open1336.91071OpenAlexW2163549255MaRDI QIDQ287620FDOQ287620
Authors: A. Burak Paç, Mustafa Ç. Pınar 
Publication date: 23 May 2016
Published in: Top (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11693/12942
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Cites Work
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- Robust Portfolio Selection Problems
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
Cited In (26)
- A robust ordered weighted averaging loss model for portfolio optimization
- Robustness in deterministic vector optimization
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Ambiguous Risk Measures and Optimal Robust Portfolios
- CVaR robust mean-CVaR portfolio optimization
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Title not available (Why is that?)
- Characterization of norm-based robust solutions in vector optimization
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- Distributionally robust last-train coordination planning problem with dwell time adjustment strategy
- CVaR-based robust models for portfolio selection
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Robust portfolio selection under recovery average value at risk
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- On robust mean-variance portfolios
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Risk-averse hub location: formulation and solution approach
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