Robust Portfolio Selection Problems
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(only showing first 100 items - show all)- Multi-period portfolio optimization with linear control policies
- Relaxed robust second-order-cone programming
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- An interior-point method for a class of saddle-point problems
- Portfolio selection problem with interval coefficients
- Recent advancements in robust optimization for investment management
- Robust equity portfolio performance
- Robust optimization of mixed CVaR STARR ratio using copulas
- Multiple tests for the performance of different investment strategies
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Piecewise static policies for two-stage adjustable robust linear optimization
- Robustness of stable volatility strategies
- Delegated portfolio management under ambiguity aversion
- Data-driven robust optimization
- Robust portfolio decisions for financial institutions
- On the adaptivity gap in two-stage robust linear optimization under uncertain packing constraints
- Risk-controlled multiobjective portfolio selection problem using a principle of compromise
- 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
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Robust portfolio selection problem under temperature uncertainty
- On the computation of the efficient frontier of the portfolio selection problem
- Hybrid adaptive large neighborhood search for the optimal statistic median problem
- Inverse conic programming with applications
- Log-robust portfolio management with parameter ambiguity
- Robust-based interactive portfolio selection problems with an uncertainty set of returns
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Robust ranking and portfolio optimization
- International portfolio management with affine policies
- A framework for optimization under ambiguity
- Warmstarting the homogeneous and self-dual interior point method for linear and conic quadratic problems
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Minimax-statistical approach to increasing reliability of measurement information processing
- Worst-case analysis of Gini mean difference safety measure
- 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
- A unified model for regularized and robust portfolio optimization
- Nonconvex robust programming via value-function optimization
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Robust multi-period and multi-objective portfolio selection
- Robust conditional expectation reward-risk performance measures
- Inference on estimators defined by mathematical programming
- Entropy based robust portfolio
- Inverse optimization problems with multiple weight functions
- Cardinality-constrained risk parity portfolios
- Robust international portfolio optimization with worst-case mean-CVaR
- Sparse and robust mean-variance portfolio optimization problems
- Frameworks and results in distributionally robust optimization
- Algorithms for stochastic optimization with function or expectation constraints
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization
- Generalized risk parity portfolio optimization: an ADMM approach
- A possibilistic portfolio model with fuzzy liquidity constraint
- Robust trade-off portfolio selection
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- Reconciling mean-variance portfolio theory with non-Gaussian returns
- Recent developments in robust portfolios with a worst-case approach
- Robust investment decisions under supply disruption in petroleum markets
- Pricing and hedging in incomplete markets with model uncertainty
- Compressed covariance estimation with automated dimension learning
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Exploiting problem structure in optimization under uncertainty via online convex optimization
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Robust nonlinear optimization with conic representable uncertainty set
- Continuous-time portfolio selection under ambiguity
- Robust portfolio selection with a combined WCVaR and factor model
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Regularized robust optimization: the optimal portfolio execution case
- On the approximability of adjustable robust convex optimization under uncertainty
- What do robust equity portfolio models really do?
- Inseparable robust reward-risk optimization models with distribution uncertainty
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Factor-based robust index tracking
- A multiplicative weight updates algorithm for packing and covering semi-infinite linear programs
- Worst-case violation of sampled convex programs for optimization with uncertainty
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- On two-stage convex chance constrained problems
- Adjustable robust optimization models for a nonlinear two-period system
- Robust profit opportunities in risky financial portfolios
- Ambiguous chance constrained problems and robust optimization
- Strong formulations of robust mixed 0-1 programming
- 60 years of portfolio optimization: practical challenges and current trends
- Robust portfolios that do not tilt factor exposure
- Robust multiobjective optimization \& applications in portfolio optimization
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- High dimensional covariance matrix estimation using multi-factor models from incomplete information
- Cuts for mixed 0-1 conic programming
- An optimal trade-off model for portfolio selection with sensitivity of parameters
- A successive SDP-NSDP approach to a robust optimization problem in finance
- Hadamard directional differentiability of the optimal value of a linear second-order conic programming problem
- Smart network based portfolios
- A robust multiobjective mathematical model optimizing stock portfolio
- Inf-convolution and optimal allocations for mixed-VaRs
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Block coordinate descent methods for semidefinite programming
- Convergence analysis for distributionally robust optimization and equilibrium problems
- On robust mean-variance portfolios
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