Robust portfolio optimization: a categorized bibliographic review
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Publication:827129
DOI10.1007/S10479-020-03630-8zbMATH Open1456.90120OpenAlexW3021248164MaRDI QIDQ827129FDOQ827129
Authors: N. E. Zubov 
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03630-8
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Cites Work
- Robust portfolio selection based on a multi-stage scenario tree
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- What do robust equity portfolio models really do?
- Robust portfolio asset allocation and risk measures
- Constructing Risk Measures from Uncertainty Sets
- Theory and applications of robust optimization
- Robust optimization
- The Price of Robustness
- Robust Optimization of Large-Scale Systems
- Robust solutions of uncertain linear programs
- Robust discrete optimization and its applications
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Robust portfolio choice with stochastic interest rates
- Robust multiobjective portfolio optimization: A minimax regret approach
- Robust optimization-methodology and applications
- Robust convex optimization
- Tractable robust expected utility and risk models for portfolio optimization
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- Worst-case conditional value-at-risk with application to robust portfolio management
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- On robust mean-variance portfolios
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Robust Portfolio Selection Problems
- Robust asset allocation
- Robust multiobjective optimization \& applications in portfolio optimization
- Minmax robustness for multi-objective optimization problems
- Portfolio selection with robust estimation
- Robust portfolio selection under downside risk measures
- Robust portfolio optimization with derivative insurance guarantees
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Robust portfolios: contributions from operations research and finance
- Robustness in stochastic programs with risk constraints
- Twenty years of linear programming based portfolio optimization
- Recent developments in robust portfolios with a worst-case approach
- Robust portfolio optimization with copulas
- 60 years of portfolio optimization: practical challenges and current trends
- Robust optimization and portfolio selection: the cost of robustness
- Robust portfolio control with stochastic factor dynamics
- Robust portfolio selection using linear-matrix inequalities
- Robust portfolio optimization
- Robust portfolio selection for index tracking
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Log-robust portfolio management after transaction costs
- A robust asset-liability management framework for investment products with guarantees
- Title not available (Why is that?)
- Robust investment decisions under supply disruption in petroleum markets
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Short sales in log-robust portfolio management
- A log-robust optimization approach to portfolio management
- Robust portfolio selection based on asymmetric measures of variability of stock returns
- Robust One-Period Option Hedging
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Portfolio optimization with \(pw\)-robustness
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Developing a multi-period robust optimization model considering American style options
- Robust profit opportunities in risky financial portfolios
- Robust hedging strategies
- A robust mean absolute deviation model for portfolio optimization
- Robust portfolio asset allocation and risk measures
- Robust two-stage stochastic linear optimization with risk aversion
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- Robust optimization models for managing callable bond portfolios
- Recent advancements in robust optimization for investment management
- Robust risk budgeting
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Robust equity portfolio performance
- Robust optimization of mixed CVaR STARR ratio using copulas
- On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Robust portfolio selection problem under temperature uncertainty
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Log-robust portfolio management with parameter ambiguity
- A unified model for regularized and robust portfolio optimization
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Omega-CVaR portfolio optimization and its worst case analysis
- Robust multiobjective portfolio optimization: a set order relations approach
- Robust portfolios that do not tilt factor exposure
- Robust worst-case optimal investment
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- Robust optimization of credit portfolios
- Robustness properties of mean-variance portfolios
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Relative robust portfolio optimization with benchmark regret
- Robust mean variance optimization problem under Rényi divergence information
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Robust asset allocation strategies: relaxed versus classical robustness
- Robust mean-variance portfolio through the weighted \(L^p\) depth function
Cited In (18)
- A new dual-based cutting plane algorithm for nonlinear adjustable robust optimization
- Online multi-criteria portfolio analysis through compromise programming models built on the underlying principles of fuzzy outranking
- Robustifying Markowitz
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- Adaptive moment estimation for universal portfolio selection strategy
- A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty
- Robust optimization approaches for portfolio selection: a comparative analysis
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Robust portfolio optimization: a conic programming approach
- A practical guide to robust portfolio optimization
- Robust portfolios: contributions from operations research and finance
- Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study
- Bi-objective reliability based optimization: an application to investment analysis
- Continuous-time portfolio optimization for absolute return funds
- Recent developments in robust portfolios with a worst-case approach
- Distributionally robust end-to-end portfolio construction
- The research progress of robust portfolio optimization
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