Robust asset allocation strategies: relaxed versus classical robustness

DOI10.1093/IMAMAN/DPS023MaRDI QIDQ5397572zbMATH OpenOpenAlexFDO

Authors Raffaella Recchia, Maria Grazia Scutellà

Publication date 24 February 2014

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dps023

zbMATH Keywords

computational experimentationconvex risk measuresmathematical modelsportfolio optimizationrobustness

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

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Cited in

(8)

• Recent advancements in robust optimization for investment management
• Robust asset allocation
• A soft robust model for optimization under ambiguity
• Robust stock and bond allocation with end-of-horizon effects
• Robust portfolio asset allocation and risk measures
• Robust portfolio asset allocation and risk measures
• Robust portfolio optimization: a categorized bibliographic review
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

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