Portfolio selection with robust estimation

DOI10.1287/OPRE.1080.0566zbMATH Open1233.91240OpenAlexW3123979261MaRDI QIDQ3100367FDOQ3100367

Authors: Victor DeMiguel, Francisco J. Nogales 

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2f897b95da9c7635ae9c075b5c67cf3def7eea69

Recommendations

• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• Robust portfolio optimization
• Robust portfolio optimization
• Robust estimation of efficient mean-variance frontiers
• Global minimum variance portfolios under uncertainty: a robust optimization approach

zbMATH Keywords

econometricsrobust statisticsportfolio choiceestimation errorportfolio investmentminimum-variance portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (only showing first 100 items - show all)

• Robust mean-variance portfolio through the weighted \(L^p\) depth function
• Robust portfolio selection under downside risk measures
• Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
• 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
• Robust equity portfolio performance
• Heuristic methods for the optimal statistic median problem
• Robust portfolio decisions for financial institutions
• Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
• Robust dependence modeling for high-dimensional covariance matrices with financial applications
• Efficient cluster-based portfolio optimization
• 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
• Reconciling mean-variance portfolio theory with non-Gaussian returns
• Title not available (Why is that?)
• 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?
• Sensitivity to estimation errors in mean-variance models
• 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
• 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
• Recent advances in robust optimization: an overview
• Robust portfolios: contributions from operations research and finance
• 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
• Title not available (Why is that?)
• Robust portfolio optimization
• Robustness properties of mean-variance portfolios
• Title not available (Why is that?)
• The impact of covariance misspecification in risk-based portfolios
• Minimum Rényi entropy portfolios
• 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
• Portfolio selection: a target-distribution approach
• Adjusted robust mean-value-at-risk model: less conservative robust portfolios
• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
• Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
• Robust portfolio asset allocation and risk measures
• Performance of portfolios optimized with estimation error
• 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
• Dominating estimators for minimum-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
• A generalized pivotal quantity approach to portfolio selection
• Robust portfolio optimization
• Robust trade-off portfolio selection
• 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
• Ambiguous joint chance constraints under mean and dispersion information
• Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
• A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
• Optimal portfolio diversification via independent component analysis
• Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
• Sparse precision matrices for minimum variance portfolios
• Portfolio optimization model with and without options under additional constraints
• 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
• The stock implied volatility and the implied dividend volatility
• Equally weighted cardinality constrained portfolio selection via factor models
• Disentangling the role of variance and covariance information in portfolio selection problems
• Optimal portfolio choice: a minimum expected loss approach
• 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
• Portfolio construction by mitigating error amplification: the bounded-noise portfolio
• Parameter-free robust optimization for the maximum-Sharpe portfolio problem
• Robust conditional expectation reward-risk performance measures
• Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
• Robust investment management with uncertainty in fund managers' asset allocation
• Robust CCMV model with short selling and risk-neutral interest rate
• Outlier removal for prediction of covariance matrices with an application to portfolio optimization
• Robust strategies for quantitative investment management

This page was built for publication: Portfolio selection with robust estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100367)