Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints

DOI10.1007/s10100-022-00821-5MaRDI QIDQ6161249

Fabrizio Laurini, Gino Gandolfi, Maria Cristina Arcuri

Publication date: 27 June 2023

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

robust portfolio optimizationfoundations of banking originrobust C-VaR

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Robust portfolio optimization
• Portfolio selection with uncertain exit time: a robust CVaR approach
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Computing efficient frontiers using estimated parameters
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Robust estimation of efficient mean-variance frontiers
• Coherent Measures of Risk
• Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
• Portfolio Selection with Robust Estimation
• Stochastic optimization for allocation problems with shortfall risk constraints
• Robust portfolio asset allocation and risk measures

This page was built for publication: Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints