Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
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Cited in
(14)- Robust portfolio selections with joint ellipsoidal uncertainty set and probability constraints
- scientific article; zbMATH DE number 5847193 (Why is no real title available?)
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- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- A numerical study for robust active portfolio management with worst-case downside risk measure
- Robust optimization approximation for ambiguous P-model and its application
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio optimization with derivative insurance guarantees
- Developing a multi-period robust optimization model considering American style options
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio asset allocation and risk measures
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