Search Results - subject:"Robust portfolio"

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment

Garces, Len Patrick Dominic M.; Shen, Yang - In: European journal of operational research : EJOR 322 (2025) 2, pp. 693-712

Persistent link: https://www.econbiz.de/10015412196

Dynamic robust portfolio selection under market distress

Jiang, Yifu; Olmo, Jose; Atwi, Majed - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014445636

Robust portfolio optimization for banking foundations : a CVaR approach for asset allocation with mandatory constraints

Arcuri, Maria Cristina; Gandolfi, Gino; Laurini, Fabrizio - In: Central European journal of operations research 31 (2023) 2, pp. 557-581

Persistent link: https://www.econbiz.de/10014251624

Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28

In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the...

Persistent link: https://www.econbiz.de/10014289085