Robustness to dependency in portfolio optimization using overlapping marginals
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- scientific article; zbMATH DE number 3845624 (Why is no real title available?)
- scientific article; zbMATH DE number 61022 (Why is no real title available?)
- scientific article; zbMATH DE number 125971 (Why is no real title available?)
- scientific article; zbMATH DE number 3070150 (Why is no real title available?)
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Cited in
(17)- A review on ambiguity in stochastic portfolio optimization
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- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Recent advances in robust optimization: an overview
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning
- Technical note -- robust newsvendor games with ambiguity in demand distributions
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Distributionally robust optimization
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- Robust portfolio optimization: a categorized bibliographic review
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