Robust portfolio control with stochastic factor dynamics

DOI10.1287/OPRE.2013.1180zbMATH Open1291.91192OpenAlexW3123903722MaRDI QIDQ5166253FDOQ5166253

Authors: Paul Glasserman, Xingbo Xu 

Publication date: 26 June 2014

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://pubsonline.informs.org/doi/abs/10.1287/opre.2013.1180

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zbMATH Keywords

robustnessportfolio optimizationrelative entropytransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (21)

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• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
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• Robust optimization of credit portfolios
• Robust analysis in stochastic simulation: computation and performance guarantees
• Robust Actuarial Risk Analysis
• What do robust equity portfolio models really do?
• Robust portfolios that do not tilt factor exposure
• Smart Alpha: active management with unstable and latent factors
• On the relationship between entropy, demand uncertainty, and expected loss
• Robust utility maximization under model uncertainty via a penalization approach
• Robust sensitivity analysis for stochastic systems
• Robust portfolio optimization: a categorized bibliographic review
• Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
• Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
• Robust trade-off portfolio selection
• Dynamic portfolio choice with return predictability and transaction costs
• Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets

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