Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
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Cites work
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Portfolio optimization. With CD-ROM.
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust Portfolio Selection Problems
- Robust convex optimization
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Robust solutions of uncertain linear programs
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(27)- Robustness in deterministic vector optimization
- A robust ordered weighted averaging loss model for portfolio 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
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Characterization of norm-based robust solutions in vector optimization
- scientific article; zbMATH DE number 6264081 (Why is no real title available?)
- 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
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- 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
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Robust portfolio selection under recovery average value at risk
- 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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