Robust multiobjective optimization \& applications in portfolio optimization
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Robust multiobjective optimization \& applications in portfolio optimization
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Cites work
- A multicriteria decision aid methodology for sorting decision problems: The case of financial distress
- Adaptive Scalarization Methods in Multiobjective Optimization
- Ambiguous chance constrained problems and robust optimization
- Cascading: An adjusted exchange method for robust conic programming
- Comparison and robustification of Bayes and Black-Litterman models
- Data Analysis Using Stein's Estimator and its Generalizations
- Estimation for Markowitz Efficient Portfolios
- Gap-free computation of Pareto-points by quadratic scalarizations
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 48335 (Why is no real title available?)
- scientific article; zbMATH DE number 3078986 (Why is no real title available?)
- Multi‐criteria decision aid in financial decision making: methodologies and literature review
- Multicriteria approach to bilevel optimization
- Newton's method for multiobjective optimization
- Portfolio optimization via stochastic programming: Methods of output analysis
- Portfolio selection with robust estimation
- Proper efficiency and the theory of vector maximization
- Risk and asset allocation.
- Robust asset allocation
- Robust convex optimization
- Robust optimization
- Robust optimization-methodology and applications
- Robust Portfolio Selection Problems
- Robust solutions of uncertain linear programs
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust Solutions to Uncertain Semidefinite Programs
- Robustness properties of mean-variance portfolios
- Steepest descent methods for multicriteria optimization.
- Stochastic multiobjective optimization: Sample average approximation and applications
- Theory and applications of robust optimization
- Theory of multiobjective optimization
- Weighting factor results in vector optimization
Cited in
(only showing first 100 items - show all)- Recent advancements in robust optimization for investment management
- Dominance for multi-objective robust optimization concepts
- A stochastic multiple gradient descent algorithm
- Stability of local efficiency in multiobjective optimization
- Decision uncertainty in multiobjective optimization
- Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence
- On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
- Necessary and sufficient conditions for Pareto efficiency in robust multiobjective optimization
- Min-ordering and max-ordering scalarization methods for multi-objective robust optimization
- A unified framework for stochastic optimization
- Primal worst and dual best in robust vector optimization
- Robust multiobjective optimization with application to Internet routing
- Robustness in deterministic vector optimization
- Robust and sustainable supply chains under market uncertainties and different risk attitudes -- a case study of the German biodiesel market
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust multiobjective portfolio optimization: A minimax regret approach
- Robust counterparts and robust efficient solutions in vector optimization under uncertainty
- The price of multiobjective robustness: analyzing solution sets to uncertain multiobjective problems
- Robust multi-period and multi-objective portfolio selection
- A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
- Entropy based robust portfolio
- Scalarization and robustness in uncertain vector optimization problems: a non componentwise approach
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- On approximate efficiency for nonsmooth robust vector optimization problems
- LR-NIMBUS: an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
- An algorithmic approach to multiobjective optimization with decision uncertainty
- Pareto uncertainty index for evaluating and comparing solutions for stochastic multiple objective problems
- Characterization of norm-based robust solutions in vector optimization
- On approximate solutions and saddle point theorems for robust convex optimization
- Multiobjective optimization under uncertainty: a multiobjective robust (relative) regret approach
- Generalized multiobjective robustness and relations to set-valued optimization
- A non-probabilistic methodology for reliable sustainability planning: an application to the Iraqi national irrigation system
- Decision making in multiobjective optimization problems under uncertainty: balancing between robustness and quality
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Three concepts of robust efficiency for uncertain multiobjective optimization problems via set order relations
- On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
- Variation-aware clock network buffer sizing using robust multi-objective optimization
- Omega-CVaR portfolio optimization and its worst case analysis
- Random approximations in multiobjective optimization
- Robust gradient-based multiobjective optimization for the generation of well controls to maximize the net-present-value of production under geological uncertainty
- Asymptotic multivariate dominance: a financial application
- Proximal gradient methods for multiobjective optimization and their applications
- Optimality conditions and duality for robust nonsmooth multiobjective optimization problems with constraints
- Robust multiobjective portfolio optimization: a set order relations approach
- On multiobjective optimization in portfolio management
- Robust solutions to multi-objective linear programs with uncertain data
- Some characterizations of approximate solutions for robust semi-infinite optimization problems
- Smart network based portfolios
- Robustness in deterministic multi-objective linear programming with respect to the relative interior and angle deviation
- Minmax robustness for multi-objective optimization problems
- Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations
- Robustness in nonsmooth nonlinear multi-objective programming
- A linearized value-at-risk model with transaction costs and short selling
- Bi-objective robust optimisation
- Ambiguity in risk preferences in robust stochastic optimization
- A variational approach to define robustness for parametric multiobjective optimization problems
- Concepts of efficiency for uncertain multi-objective optimization problems based on set order relations
- Robust portfolio optimization: a conic programming approach
- scientific article; zbMATH DE number 6934890 (Why is no real title available?)
- Isolated efficiency in nonsmooth semi-infinite multi-objective programming
- Nonlinear Conjugate Gradient Methods for Vector Optimization
- Characterizations of robust -quasi optimal solutions for nonsmooth optimization problems with uncertain data
- A proximal gradient splitting method for solving convex vector optimization problems
- Preference robust models in multivariate utility-based shortfall risk minimization
- Non-convex multiobjective optimization under uncertainty: a descent algorithm. Application to sandwich plate design and reliability
- Optimality conditions of robust convex multiobjective optimization via -constraint scalarization and image space analysis
- Characterizations of multiobjective robustness on vectorization counterparts
- On approximate solutions for nonsmooth robust multiobjective optimization problems
- Linear matrix inequality conditions and duality for a class of robust multiobjective convex polynomial programs
- Robustness for uncertain multi-objective optimization: a survey and analysis of different concepts
- Approximate solution in robust multi-objective optimization and its application in portfolio optimization
- Explicit multiobjective model predictive control for nonlinear systems under uncertainty
- Twenty years of continuous multiobjective optimization in the twenty-first century
- Adaptive sampling stochastic multigradient algorithm for stochastic multiobjective optimization
- On second-order conic programming duals for robust convex quadratic optimization problems
- Characterizing a class of robust vector polynomial optimization via sum of squares conditions
- A Barzilai-Borwein descent method for multiobjective optimization problems
- On approximate optimality conditions for robust multi-objective convex optimization problems
- Proximal Newton methods for multiobjective optimization problems
- MONOTONICITY FOR MULTIOBJECTIVE ACCELERATED PROXIMAL GRADIENT METHODS
- Bi-objective reliability based optimization: an application to investment analysis
- The point-based robustness gap for uncertain multiobjective optimization
- An introduction to multiobjective simulation optimization
- Robust optimization approaches for portfolio selection: a comparative analysis
- A distributional robust minimax regret optimization approach for multi-objective portfolio problems
- Globalized distributionally robust optimization problems under the moment-based framework
- Robust nonsmooth optimality conditions for uncertain multiobjective programs involving stable functions
- Multicriteria adjustable robustness
- Feasibility conditions of robust portfolio solutions with single and combined uncertainties
- Scalarisation-based risk concepts for robust multi-objective optimisation
- Sequential efficiency optimality conditions for robust multiobjective fractional optimization problems
- Preconditioned Barzilai-Borwein methods for multiobjective optimization problems
- A subspace minimization Barzilai-Borwein method for multiobjective optimization problems
- Efficient nonlinear conjugate gradient techniques for vector optimization problems
- Multiobjective optimization using the R2 utility
- Bilevel robust optimization approach for multi-period sparse portfolio selection
- Connections between multiple-objective programming and weight restricted data envelopment analysis: the role of the ordering cone
- Bi-attribute utility preference robust optimization: a continuous piecewise linear approximation approach
- Fifty years of portfolio optimization
- Robust simulation-based optimization for multiobjective problems with constraints
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