Robust portfolio optimisation with multiple experts
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Publication:3564679
DOI10.1093/ROF/RFN028zbMATH Open1203.91275OpenAlexW3123266636MaRDI QIDQ3564679FDOQ3564679
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
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Statistical methods; risk measures (91G70) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Cited In (6)
- Recent advancements in robust optimization for investment management
- Diversified portfolios with different entropy measures
- Risk‐sensitive benchmarked asset management with expert forecasts
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Robust portfolios: contributions from operations research and finance
- Robust trade-off portfolio selection
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