Robustness to dependency in portfolio optimization using overlapping marginals
Year of publication: |
November-December 2015
|
---|---|
Authors: | Doan, Xuan Vinh ; Li, Xiaobo ; Natarajan, Karthik |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 63.2015, 6, p. 1468-1488
|
Subject: | distributionally robust optimization | portfolio optimization | overlapping marginals | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
-
Target-oriented distributionally robust optimization and its applications to surgery allocation
Chow, Vincent Tsz Fai, (2022)
-
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran, (2022)
-
Kang, Zhilin, (2018)
- More ...
-
Distributionally robust mixed integer linear programs : persistency models with applications
Li, Xiaobo, (2014)
-
On theoretical and empirical aspects of marginal distribution choice models
Mishra, Vinit Kumar, (2014)
-
Distributionally Robust Mixed Integer Linear Programs : Persistency Models with Applications
Li, Xiaobo, (2018)
- More ...