Robust portfolio optimization: a conic programming approach
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Publication:453610
DOI10.1007/S10589-011-9419-XzbMATH Open1250.90064OpenAlexW2051386419MaRDI QIDQ453610FDOQ453610
Authors: Kai Ye, Panos Parpas, Berç Rustem 
Publication date: 27 September 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: http://comisef.eu/files/wps015.pdf
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Cites Work
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- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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- Computing efficient frontiers using estimated parameters
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- Dynamic mean-variance portfolio analysis under model risk
Cited In (24)
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- How to project onto extended second order cones
- Title not available (Why is that?)
- Robust Portfolio Selection Problems
- Robust optimization approaches for portfolio selection: a comparative analysis
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Recent advances in robust optimization: an overview
- Mean-variance portfolio optimization with parameter sensitivity control
- Robust portfolio selection using linear-matrix inequalities
- A robust mean absolute deviation model for portfolio optimization
- A conic programming approach for robust portfolio optimization problems
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Trust your data or not -- StQP remains StQP: community detection via robust standard quadratic optimization
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust portfolio optimization with a hybrid heuristic algorithm
- Robust multiobjective optimization \& applications in portfolio optimization
- Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
- A survey of nonlinear robust optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Uses Software
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