Robust portfolio optimization: a categorized bibliographic review
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Cites work
- 60 years of portfolio optimization: practical challenges and current trends
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- A log-robust optimization approach to portfolio management
- A robust asset-liability management framework for investment products with guarantees
- A robust mean absolute deviation model for portfolio optimization
- A unified model for regularized and robust portfolio optimization
- Ambiguous Risk Measures and Optimal Robust Portfolios
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Constructing Risk Measures from Uncertainty Sets
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Developing a multi-period robust optimization model considering American style options
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- scientific article; zbMATH DE number 1489803 (Why is no real title available?)
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- Log-robust portfolio management after transaction costs
- Log-robust portfolio management with parameter ambiguity
- Minmax robustness for multi-objective optimization problems
- Omega-CVaR portfolio optimization and its worst case analysis
- On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
- On robust mean-variance portfolios
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Portfolio optimization with \(pw\)-robustness
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Portfolio selection with robust estimation
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Recent advancements in robust optimization for investment management
- Recent developments in robust portfolios with a worst-case approach
- Relative robust portfolio optimization with benchmark regret
- Robust asset allocation
- Robust asset allocation strategies: relaxed versus classical robustness
- Robust convex optimization
- Robust discrete optimization and its applications
- Robust equity portfolio performance
- Robust hedging strategies
- Robust investment decisions under supply disruption in petroleum markets
- Robust mean variance optimization problem under Rényi divergence information
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust mean-variance portfolio through the weighted L^p depth function
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Robust multiobjective optimization \& applications in portfolio optimization
- Robust multiobjective portfolio optimization: A minimax regret approach
- Robust multiobjective portfolio optimization: a set order relations approach
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- Robust One-Period Option Hedging
- Robust optimization
- Robust optimization and portfolio selection: the cost of robustness
- Robust optimization models for managing callable bond portfolios
- Robust optimization of credit portfolios
- Robust Optimization of Large-Scale Systems
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust optimization-methodology and applications
- Robust portfolio asset allocation and risk measures
- Robust portfolio asset allocation and risk measures
- Robust portfolio choice with stochastic interest rates
- Robust portfolio control with stochastic factor dynamics
- Robust portfolio optimization
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Robust portfolio optimization with copulas
- Robust portfolio optimization with derivative insurance guarantees
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
- Robust portfolio selection based on a multi-stage scenario tree
- Robust portfolio selection based on asymmetric measures of variability of stock returns
- Robust portfolio selection for index tracking
- Robust portfolio selection problem under temperature uncertainty
- Robust Portfolio Selection Problems
- Robust portfolio selection under downside risk measures
- Robust portfolio selection using linear-matrix inequalities
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Robust portfolios that do not tilt factor exposure
- Robust portfolios: contributions from operations research and finance
- Robust profit opportunities in risky financial portfolios
- Robust risk budgeting
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- Robust solutions of uncertain linear programs
- Robust two-stage stochastic linear optimization with risk aversion
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust worst-case optimal investment
- Robustness in stochastic programs with risk constraints
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Robustness properties of mean-variance portfolios
- Robustness to dependency in portfolio optimization using overlapping marginals
- Short sales in log-robust portfolio management
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- The Price of Robustness
- Theory and applications of robust optimization
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Tractable robust expected utility and risk models for portfolio optimization
- Twenty years of linear programming based portfolio optimization
- What do robust equity portfolio models really do?
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(31)- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- Recent developments in robust portfolios with a worst-case approach
- Continuous-time portfolio optimization for absolute return funds
- Robust portfolio optimization: a conic programming approach
- A practical guide to robust portfolio optimization
- The research progress of robust portfolio optimization
- Distributionally robust end-to-end portfolio construction
- Adaptive moment estimation for universal portfolio selection strategy
- Online multi-criteria portfolio analysis through compromise programming models built on the underlying principles of fuzzy outranking
- Robustifying Markowitz
- Bi-objective reliability based optimization: an application to investment analysis
- A new dual-based cutting plane algorithm for nonlinear adjustable robust optimization
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty
- Robust optimization approaches for portfolio selection: a comparative analysis
- Portfolio optimization with expectile value at risk and conditional value at risk: deviation measure and robust allocation
- Data-driven approximation of distributionally robust chance constraints using Bayesian credible intervals
- Explaining risks: axiomatic risk attributions for financial models
- Portfolio optimisation via strategy-specific eigenvector shrinkage
- Hedging against demand ambiguity in new product development: a two-stage distributionally robust approach
- Adaptive robust online portfolio selection
- Fifty years of portfolio optimization
- Capital allocation and risk aversion strategies for optimizing multinational firms' investment portfolios via linear programming algorithms
- The relevance of goal programming for financial portfolio management: a bibliometric and systematic literature review
- Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
- Enhancing mean-variance portfolio optimization through GANs-based anomaly detection
- Projected gradient descent method for cardinality-constrained portfolio optimization
- Well-posedness of vector optimistic and robust optimization problems
- Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study
- Robust portfolios: contributions from operations research and finance
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