Sensitivity Analysis for Mean-Variance Portfolio Problems
From MaRDI portal
Cited in
(46)- Multi-period portfolio optimization with linear control policies
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- Recent advancements in robust optimization for investment management
- Minimax rule for energy optimization
- Delegated portfolio management under ambiguity aversion
- Risk management strategies for finding universal portfolios
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- On the computation of the efficient frontier of the portfolio selection problem
- A minimax portfolio selection strategy with equilibrium
- On interval portfolio selection problem
- Applications of stochastic programming under incomplete information
- Portfolio selection in a data-rich environment
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Robust CCMV model with short selling and risk-neutral interest rate
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Recent developments in robust portfolios with a worst-case approach
- Necessary and sufficient conditions of solution uniqueness in 1-norm minimization
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- An optimization-diversification approach to portfolio selection
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- A queueing framework for routing problems with time-dependent travel times
- Adjusted robust mean-value-at-risk model: less conservative robust portfolios
- Optimization for financial engineering: a special issue
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- On the diversity constraints for portfolio optimization
- On robust mean-variance portfolios
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Equilibrium in an ambiguity-averse mean-variance investors market
- Portfolio selection using R
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Entropy and information in portfolio choice
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Conditioning theory of the equality constrained quadratic programming and its applications
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
- Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
- MAD risk parity portfolios
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Black-Litterman asset allocation under hidden truncation distribution
- Asset allocation with factor-based covariance matrices
- Robustness characterizations of continuous-time equal-correlation investment strategy
- Bayesian learning in dynamic portfolio selection under a minimax rule
- Parametric direct support method for solving the bi-objective portfolio optimization problem
- Vehicle routing with stochastic time-dependent travel times
This page was built for publication: Sensitivity Analysis for Mean-Variance Portfolio Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3354893)
