Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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Publication:3637367
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- A conic programming approach for robust portfolio optimization problems
- Polymatroids and mean-risk minimization in discrete optimization
- Optimization under decision-dependent uncertainty
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust international portfolio optimization with worst-case mean-CVaR
- The submodular knapsack polytope
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