Robust portfolio optimization: a conic programming approach
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Cites work
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- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Bounds on measures satisfying moment conditions.
- Computing efficient frontiers using estimated parameters
- Dynamic mean-variance portfolio analysis under model risk
- Robust Portfolio Selection Problems
- Robust asset allocation
- Robust min-max portfolio strategies for rival forecast and risk scenarios
- SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
- Semi-infinite programming and applications to minimax problems
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(24)- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- How to project onto extended second order cones
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- scientific article; zbMATH DE number 2065137 (Why is no real title available?)
- Robust Portfolio Selection Problems
- Robust optimization approaches for portfolio selection: a comparative analysis
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Recent advances in robust optimization: an overview
- Mean-variance portfolio optimization with parameter sensitivity control
- Robust portfolio selection using linear-matrix inequalities
- A robust mean absolute deviation model for portfolio optimization
- A conic programming approach for robust portfolio optimization problems
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Robust portfolio optimization with a hybrid heuristic algorithm
- 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
- Robust multiobjective optimization \& applications in portfolio optimization
- Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A survey of nonlinear robust optimization
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