Robust portfolio selection based on a multi-stage scenario tree
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Cites work
- scientific article; zbMATH DE number 1834580 (Why is no real title available?)
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- Algorithms for the solution of stochastic dynamic minimax problems
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- On sensitivity of central solutions in semidefinite programming
- Robust Portfolio Selection Problems
- Robust convex optimization
- Robust solutions of uncertain linear programs
- Scenario generation and stochastic programming models for asset liability management
- Simulation and optimization approaches to scenario tree generation
- The minimax approach to stochastic programming and an illustrative application
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
Cited in
(17)- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- scientific article; zbMATH DE number 2065136 (Why is no real title available?)
- Robust Portfolio Selection Problems
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Robust portfolios: contributions from operations research and finance
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio selection with polyhedral ambiguous inputs
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Multi-period portfolio selection with investor views based on scenario tree
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Investment models based on clustered scenario trees
- Scenario-based portfolio model for building robust and proactive strategies
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