Portfolio Selection with Robust Estimation

Cited In (89)

A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
Robust mean-variance portfolio through the weighted \(L^p\) depth function
Sparse precision matrices for minimum variance portfolios
Robust portfolio selection under downside risk measures
Portfolio optimization model with and without options under additional constraints
Robust M-estimation of multivariate GARCH models
The effect of regularization in portfolio selection problems
Portfolio selection in a data-rich environment
Delegated portfolio management under ambiguity aversion
Constructing optimal sparse portfolios using regularization methods
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
The stock implied volatility and the implied dividend volatility
Heuristic methods for the optimal statistic median problem
Robust portfolio decisions for financial institutions
A concave optimization-based approach for sparse portfolio selection
A unified model for regularized and robust portfolio optimization
Robustness of stable volatility strategies
A bi-level programming approach for global investment strategies with financial intermediation
Title not available (Why is that?)
Robust portfolio selection under norm uncertainty
Hybrid adaptive large neighborhood search for the optimal statistic median problem
Robust portfolio optimization with derivative insurance guarantees
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
Mean-chance model for portfolio selection based on uncertain measure
Parameter-free robust optimization for the maximum-Sharpe portfolio problem
A distributionally robust perspective on uncertainty quantification and chance constrained programming
Ranking of investment funds: acceptability versus robustness
Good deals and benchmarks in robust portfolio selection
Robust and adaptive algorithms for online portfolio selection
Robust conditional expectation reward-risk performance measures
Recent advances in robust optimization: an overview
Robust portfolios: contributions from operations research and finance
Robust portfolio optimization: a categorized bibliographic review
Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
Optimal asset allocation: risk and information uncertainty
Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
Value of information in portfolio selection, with a Taiwan stock market application illustration
Title not available (Why is that?)
Robust CCMV model with short selling and risk-neutral interest rate
Title not available (Why is that?)
Minimum Rényi entropy portfolios
Outlier removal for prediction of covariance matrices with an application to portfolio optimization
Portfolio value-at-risk optimization for asymmetrically distributed asset returns
Comparison of different estimation techniques for portfolio selection
Regularized robust optimization: the optimal portfolio execution case
Un-diversifying during crises: is it a good idea?
Portfolio selection: a target-distribution approach
Adjusted robust mean-value-at-risk model: less conservative robust portfolios
A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
Robust portfolio asset allocation and risk measures
Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
Robust portfolio optimization with a hybrid heuristic algorithm
Sparse and risk diversification portfolio selection
Robust multiobjective optimization \& applications in portfolio optimization
On robust mean-variance portfolios
Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
Feature selection for portfolio optimization
The robust Merton problem of an ambiguity averse investor
Robust trade-off portfolio selection
Frameworks and results in distributionally robust optimization
A survey of nonlinear robust optimization
60 years of portfolio optimization: practical challenges and current trends
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Multicriteria decision making under uncertainty: a visual approach
Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
Robust portfolio asset allocation and risk measures
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
Robust estimation of efficient mean-variance frontiers
Static Markowitz mean-variance portfolio selection model with long-term bonds
Portfolio selection with robust estimators considering behavioral biases in a causal network
The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
Robust asset allocation with conditional value at risk using the forward search
Robustifying Markowitz
Equally weighted cardinality constrained portfolio selection via factor models
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs
Smart Indexing Under Regime-Switching Economic States
Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
Portfolio Optimization under Solvency Constraints: A Dynamical Approach
Optimal Portfolio Diversification via Independent Component Analysis
Rational explanation for rule-of-thumb practices in asset allocation
Extension of the random matrix theory to the L-moments for robust portfolio selection
Estimation risk and the implicit value of index-tracking
Robust Investment Management with Uncertainty in Fund Managers’ Asset Allocation
Title not available (Why is that?)
Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection

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