Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens

DOI10.3138/INFOR.52.1.14MaRDI QIDQ6160409zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 9 May 2023

Published in INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3138/infor.52.1.14

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• Adjustable robust optimization models for a nonlinear two-period system
• Adjustable robust solutions of uncertain linear programs
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Dynamic programming and stochastic control
• scientific article; zbMATH DE number 1489803 (Why is no real title available?)
• scientific article; zbMATH DE number 1373207 (Why is no real title available?)
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Optimality of affine policies in multistage robust optimization
• Portfolio optimization. With CD-ROM.
• Robust convex optimization
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Robust Portfolio Selection Problems
• Robust solutions of uncertain linear programs
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Tight bounds for some risk measures, with applications to robust portfolio selection
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(2)

• Theory of dynamic portfolio for survival under uncertainty
• On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets

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