A VaR Black-Litterman model for the construction of absolute return fund-of-funds
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Cites work
- A Stochastic Programming Model
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Benchmarking optimization software with performance profiles.
- Coherent measures of risk
- Conditional and dynamic convex risk measures
- Convex measures of risk and trading constraints
- Higher moment coherent risk measures
- LP solvable models for portfolio optimization: a classification and computational comparison
- Portfolio optimization with linear and fixed transaction costs
- Robust asset allocation
- Robust Portfolio Selection Problems
- Robust portfolio selection using linear-matrix inequalities
- Stable distributions in the Black–Litterman approach to asset allocation
- Updating the Inverse of a Matrix
Cited in
(11)- Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Threshold Boolean form for joint probabilistic constraints with random technology matrix
- Game Theoretical Approach for Reliable Enhanced Indexation
- Distributionally robust portfolio optimization with linearized STARR performance measure
- One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
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