Robust portfolio optimisation with multiple experts

DOI10.1093/ROF/RFN028MaRDI QIDQ3564679zbMATH OpenOpenAlexFDO

Authors Frank Lutgens, Peter C. Schotman

Publication date 26 May 2010

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://cris.maastrichtuniversity.nl/ws/files/72450469/schotmans_2008_robust_portfolio_optimisation_with_multiple.pdf

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cited in

(6)

• Diversified portfolios with different entropy measures
• Recent advancements in robust optimization for investment management
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Robust trade-off portfolio selection
• Risk‐sensitive benchmarked asset management with expert forecasts
• Robust portfolios: contributions from operations research and finance

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