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Cited in
(only showing first 100 items - show all)- On robust mean-variance portfolios
- Sparse and risk diversification portfolio selection
- The robust Merton problem of an ambiguity averse investor
- Feature selection for portfolio optimization
- Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
- A generalized pivotal quantity approach to portfolio selection
- Portfolio optimization under solvency constraints: a dynamical approach
- Robust portfolio optimization
- Robust trade-off portfolio selection
- Frameworks and results in distributionally robust optimization
- scientific article; zbMATH DE number 7174162 (Why is no real title available?)
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- 60 years of portfolio optimization: practical challenges and current trends
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A survey of nonlinear robust optimization
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
- Multicriteria decision making under uncertainty: a visual approach
- Robust portfolio asset allocation and risk measures
- Ambiguous joint chance constraints under mean and dispersion information
- Robust mean-variance portfolio through the weighted L^p depth function
- A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
- Optimal portfolio diversification via independent component analysis
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
- Sparse precision matrices for minimum variance portfolios
- Robust portfolio selection under downside risk measures
- Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Integrating multiple sources of ordinal information in portfolio optimization
- The effect of regularization in portfolio selection problems
- Portfolio optimization model with and without options under additional constraints
- Robust M-estimation of multivariate GARCH models
- Portfolio selection in a data-rich environment
- Distributionally robust optimization
- Robust estimation of efficient mean-variance frontiers
- Delegated portfolio management under ambiguity aversion
- Constructing optimal sparse portfolios using regularization methods
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Portfolio selection with robust estimators considering behavioral biases in a causal network
- Static Markowitz mean-variance portfolio selection model with long-term bonds
- Optimal portfolio selection using quantile and composite quantile regression models
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Robust equity portfolio performance
- The stock implied volatility and the implied dividend volatility
- Robust asset allocation with conditional value at risk using the forward search
- Equally weighted cardinality constrained portfolio selection via factor models
- Heuristic methods for the optimal statistic median problem
- Robustifying Markowitz
- Robust portfolio decisions for financial institutions
- Optimal portfolio choice: a minimum expected loss approach
- Disentangling the role of variance and covariance information in portfolio selection problems
- Robust dependence modeling for high-dimensional covariance matrices with financial applications
- Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
- A concave optimization-based approach for sparse portfolio selection
- Efficient cluster-based portfolio optimization
- An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
- 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
- Reconciling mean-variance portfolio theory with non-Gaussian returns
- scientific article; zbMATH DE number 5847193 (Why is no real title available?)
- 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
- Robust portfolio selection under norm uncertainty
- Hybrid adaptive large neighborhood search for the optimal statistic median problem
- What do robust equity portfolio models really do?
- Robust portfolio optimization with derivative insurance guarantees
- Sensitivity to estimation errors in mean-variance models
- 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
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- 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
- Forecast quality with information uncertainty. Balancing and estimation from propensity scores
- Robust conditional expectation reward-risk performance measures
- Robust and adaptive algorithms for online portfolio selection
- Recent advances in robust optimization: an overview
- Robust portfolios: contributions from operations research and finance
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Distributionally robust optimal allocation of financial assets under the uncertainty and irrationality
- Robust portfolio optimization: a categorized bibliographic review
- 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
- Robust investment management with uncertainty in fund managers' asset allocation
- scientific article; zbMATH DE number 6264081 (Why is no real title available?)
- Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
- Robust portfolio optimization
- Robust CCMV model with short selling and risk-neutral interest rate
- Robustness properties of mean-variance portfolios
- The impact of covariance misspecification in risk-based portfolios
- scientific article; zbMATH DE number 6766521 (Why is no real title available?)
- Minimum Rényi entropy portfolios
- Covariance matrices under sublinear expectation and application to robust portfolio selection
- Outlier removal for prediction of covariance matrices with an application to portfolio optimization
- Comparison of different estimation techniques for portfolio selection
- Robust strategies for quantitative investment management
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
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