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type_genre:"Article in journal"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~subject:"Robust statistics"
~type_genre:"Conference paper"
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195
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Management science : journal of the Institute for Operations Research and the Management Sciences
European journal of operational research : EJOR
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1
Distributionally robust mean-variance portfolio selection with Wasserstein distances
Blanchet, Jose
;
Chen, Lin
;
Zhou, Xun Yu
- In:
Management science : journal of the Institute for …
68
(
2022
)
9
,
pp. 6382-6410
Persistent link: https://www.econbiz.de/10013373005
Saved in:
2
Tail risk and robust portfolio decisions
Jin, Xing
;
Luo, Dan
;
Zeng, Xudong
- In:
Management science : journal of the Institute for …
67
(
2021
)
5
,
pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
Saved in:
3
Multiperiod stock allocation via robust optimization
Jackson, Peter L.
;
Muckstadt, John A.
;
Li, Yuexing
- In:
Management science : journal of the Institute for …
65
(
2019
)
2
,
pp. 794-818
Persistent link: https://www.econbiz.de/10012000746
Saved in:
4
Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Management science : journal of the Institute for …
64
(
2018
)
1
,
pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
Saved in:
5
Machine learning and portfolio optimization
Ban, Gah-Yi
;
El Karoui, Noureddine
;
Lim, Andrew E. B.
- In:
Management science : journal of the Institute for …
64
(
2018
)
3
,
pp. 1136-1154
Persistent link: https://www.econbiz.de/10011847178
Saved in:
6
Superreplication of financial derivatives via convex programming
Kahalé, Nabil
- In:
Management science : journal of the Institute for …
63
(
2017
)
7
,
pp. 2323-2339
Persistent link: https://www.econbiz.de/10011729383
Saved in:
7
Economic implications of nonlinear pricing kernels
Almeida, Caio
;
Garcia, René
- In:
Management science : journal of the Institute for …
63
(
2017
)
10
,
pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
Saved in:
8
Robust growth-optimal portfolios
Rujeerapaiboon, Napat
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Management science : journal of the Institute for …
62
(
2016
)
7
,
pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
Saved in:
9
Worst-case value at risk on nonlinear portfolios
Zymler, Steve
;
Kuhn, Daniel
;
Rustem, Berç
- In:
Management science : journal of the Institute for …
59
(
2013
)
1
,
pp. 172-188
Persistent link: https://www.econbiz.de/10009711767
Saved in:
10
Robust portfolio choice with learning in the framework of regret : single-period case
Lim, Andrew E. B.
;
Shanthikumar, J. George
;
Vahn, Gah-yi
- In:
Management science : journal of the Institute for …
58
(
2012
)
9
,
pp. 1732-1746
Persistent link: https://www.econbiz.de/10009655704
Saved in:
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