Robust portfolio optimization

MaRDI QIDQ3497956zbMATH OpenFDO

Authors Geoffrey J. Lauprete, Alexander M. Samarov, Roy E. Welsch

Publication date 28 May 2008

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cited in

(20)

• Robust dependence modeling for high-dimensional covariance matrices with financial applications
• Robust portfolio decisions for financial institutions
• Robust trade-off portfolio selection
• Robust asset allocation
• Robust estimation of efficient mean-variance frontiers
• Distribution assumptions and risk constraints in portfolio optimization
• Robust worst-case optimal investment
• Portfolio optimization when risk factors are conditionally varying and heavy tailed
• On the realized risk of high-dimensional Markowitz portfolios
• Robust inference of risks of large portfolios
• Portfolio selection with robust estimation
• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• Robust portfolio optimization with a hybrid heuristic algorithm
• Robust portfolio optimization: a conic programming approach
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• scientific article; zbMATH DE number 7174162 (Why is no real title available?)
• Large portfolio allocation under elliptical distribution with a latent factor structure
• Robust portfolio optimization
• Robust mean-variance portfolio through the weighted L^p depth function
• Estimation methods for the multivariate \(t\) distribution

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