Robust portfolio optimization

DOI10.1007/s001840200193zbMath1320.91137OpenAlexW4247073408MaRDI QIDQ811791

Alexander M. Samarov, Roy E. Welsch, Geoffrey J. Lauprete

Publication date: 2002

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001840200193

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (12)

Robust portfolio optimization: a categorized bibliographic review ⋮ Ranking of investment funds: acceptability versus robustness ⋮ Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints ⋮ Robust estimation of efficient mean-variance frontiers ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ Robust portfolio asset allocation and risk measures ⋮ Robust portfolio asset allocation and risk measures ⋮ Percentage Points of the Multivariate t Distribution ⋮ A test for the weights of the global minimum variance portfolio in an elliptical model ⋮ Robustness properties of mean-variance portfolios ⋮ Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation ⋮ Portfolio selection with robust estimators considering behavioral biases in a causal network

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