Portfolio selection with uncertain exit time: a robust CVaR approach
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Cites work
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- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Linear programming: foundations and extensions
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
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- Optimum consumption and portfolio rules in a continuous-time model
- Robust Optimization of Large-Scale Systems
- Robust Portfolio Selection Problems
- Robust portfolio selection using linear-matrix inequalities
- Some remarks on the value-at-risk and the conditional value-at-risk
- Utility Maximization with Discretionary Stopping
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(37)- Discrete analysis of portfolio selection with optimal stopping time
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- Robust optimization for the newsvendor problem with discrete demand
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Robust tracking error portfolio selection with worst-case downside risk measures
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Bayesian filtering for multi-period mean-variance portfolio selection
- Recent developments in robust portfolios with a worst-case approach
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- The effect of exit strategy on optimal portfolio selection with birandom returns
- Portfolio optimization with uncertain exit time in infinite-time horizon
- Robust estimation of efficient mean-variance frontiers
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Continuous-time portfolio optimization for absolute return funds
- A robust-CVaR optimization approach with application to breast cancer therapy
- scientific article; zbMATH DE number 5674947 (Why is no real title available?)
- SDP reformulation for robust optimization problems based on nonconvex QP duality
- Robust portfolio selection under downside risk measures
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- Multi-stage stochastic model in portfolio selection problem
- Multi-loss WCVaR risk decision optimization based on weight for centralized supply problem of direct chain enterprises
- Robust portfolio asset allocation and risk measures
- PORTFOLIO CHOICE WITH TIME HORIZON RISK
- Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
- Robust asset allocation with conditional value at risk using the forward search
- Risk-aware self-triggered linear quadratic control
- Distributionally robust optimization of a newsvendor model under capital constraint and risk aversion
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- Optimal investment decisions when time-horizon is uncertain
- Robust portfolios: contributions from operations research and finance
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