Robust portfolio selection under norm uncertainty
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Publication:300545
DOI10.1186/S13660-016-1102-4zbMATH Open1414.91354OpenAlexW2468178021WikidataQ59467334 ScholiaQ59467334MaRDI QIDQ300545FDOQ300545
Publication date: 28 June 2016
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-016-1102-4
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Cites Work
- The Price of Robustness
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust solutions of uncertain linear programs
- Robust solutions of linear programming problems contaminated with uncertain data
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Robust linear optimization under general norms.
- Robust convex optimization
- Worst-case conditional value-at-risk with application to robust portfolio management
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust Portfolio Selection Problems
- Robust linear programming with norm uncertainty
- Robust asset allocation
Cited In (10)
- Robust portfolio selection under downside risk measures
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- On the role of norm constraints in portfolio selection
- Title not available (Why is that?)
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Robust Portfolio Selection Problems
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Good deals and benchmarks in robust portfolio selection
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Title not available (Why is that?)
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