Robust portfolios: contributions from operations research and finance
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Cited in
(99)- Robust portfolio asset allocation and risk measures
- The research progress of robust portfolio optimization
- Robust mean-variance portfolio through the weighted L^p depth function
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- A theory of portfolio revision: robustness and truncation problems
- Determination and estimation of risk aversion coefficients
- Robust estimation of efficient mean-variance frontiers
- Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
- On the use of conditional expectation in portfolio selection problems
- Delegated portfolio management under ambiguity aversion
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Portfolio selection with robust estimators considering behavioral biases in a causal network
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Investment decisions and sensitivity analysis: NPV-consistency of rates of return
- Recent advancements in robust optimization for investment management
- Robust equity portfolio performance
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- Robust portfolio decisions for financial institutions
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Time-consistency of optimal investment under smooth ambiguity
- A review on ambiguity in stochastic portfolio optimization
- Robustness of stable volatility strategies
- On the role of norm constraints in portfolio selection
- Multi-asset scenario building for trend-following trading strategies
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- Pricing and hedging in incomplete markets with model uncertainty
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Portfolio selection based on Bayesian theory
- Piecewise Constant Decision Rules via Branch-and-Bound Based Scenario Detection for Integer Adjustable Robust Optimization
- Two-stage financial risk tolerance assessment using data envelopment analysis
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Robust profit opportunities in risky financial portfolios
- Robust tracking error portfolio selection with worst-case downside risk measures
- What do robust equity portfolio models really do?
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Robust optimization approaches for portfolio selection: a comparative analysis
- Best-case scenario robust portfolio: evidence from China stock market
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Robust portfolios that do not tilt factor exposure
- Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- Robust omega ratio optimization using regular vines
- A practical guide to robust portfolio optimization
- Robust multiobjective portfolio optimization: A minimax regret approach
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Robust and adaptive algorithms for online portfolio selection
- Recent advances in robust optimization: an overview
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Robust portfolio optimization: a categorized bibliographic review
- Portfolio optimization of financial commodities with energy futures
- Robust portfolio selection with a combined WCVaR and factor model
- The convergence of set-valued scenario approach for downside risk minimization
- Goal-based investing based on multi-stage robust portfolio optimization
- Robust portfolio optimisation with multiple experts
- Multi-period portfolio selection with drawdown control
- Principal component analysis and optimal portfolio
- Robustness properties of mean-variance portfolios
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Cardinality-constrained distributionally robust portfolio optimization
- Minimum Rényi entropy portfolios
- Stochastic linear programming with a distortion risk constraint
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- Smart network based portfolios
- CVaR-based robust models for portfolio selection
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- On the solution uniqueness in portfolio optimization and risk analysis
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- A general solution for robust linear programs with distortion risk constraints
- On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Robust portfolio selection under recovery average value at risk
- Robust mean variance optimization problem under Rényi divergence information
- Robust portfolio asset allocation and risk measures
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Trust your data or not -- StQP remains StQP: community detection via robust standard quadratic optimization
- On robust mean-variance portfolios
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- The robust Merton problem of an ambiguity averse investor
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection
- Portfolio selection strategy for fixed income markets with immunization on average
- Recent developments in robust portfolios with a worst-case approach
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- An exact formula for radius of robust feasibility of uncertain linear programs
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Fuzzy views on Black-Litterman portfolio selection model
- Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
- A unified approach to robust Farkas-type results with applications to robust optimization problems
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- 60 years of portfolio optimization: practical challenges and current trends
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- A numerical study for robust active portfolio management with worst-case downside risk measure
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