Robust reward–risk ratio portfolio optimization
From MaRDI portal
(Redirected from Publication:6091880)
Cites work
- A robust mean absolute deviation model for portfolio optimization
- Coherent measures of risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Constructing Risk Measures from Uncertainty Sets
- Distributionally robust return-risk optimization models and their applications
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Extended omega ratio optimization for risk-averse investors
- Linear and mixed integer programming for portfolio optimization
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Omega-CVaR portfolio optimization and its worst case analysis
- Portfolio construction based on stochastic dominance and target return distributions
- Processing second-order stochastic dominance models using cutting-plane representations
- Programming with linear fractional functionals
- Robust portfolio selection based on asymmetric measures of variability of stock returns
- Robust Portfolio Selection Problems
- Robust portfolio selection under downside risk measures
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Robust reward–risk ratio optimization with application in allocation of generation asset
- Robust solutions of linear programming problems contaminated with uncertain data
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- The mean-absolute deviation portfolio selection problem with interval-valued returns
- The Price of Robustness
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-case robust Omega ratio
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(12)- Robust trade-off portfolio selection
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Data-driven distributionally robust risk parity portfolio optimization
- scientific article; zbMATH DE number 7174162 (Why is no real title available?)
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
- A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
- An omega portfolio model with dynamic return thresholds
- A new distributionally robust reward-risk model for portfolio optimization
- Drawdown minimization in asset portfolio selection: MINLP models and efficient cross-entropy algorithm
- Feasibility conditions of robust portfolio solutions with single and combined uncertainties
- Portfolio optimization with expectile value at risk and conditional value at risk: deviation measure and robust allocation
- Statistical proxy based mean-reverting portfolios with sparsity and volatility constraints
This page was built for publication: Robust reward–risk ratio portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6091880)
