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Search: subject:"Robust portfolio optimization"
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Portfolio selection
16
Portfolio-Management
16
Robust portfolio optimization
14
Theorie
13
Theory
13
Robust statistics
12
Robustes Verfahren
12
Risiko
8
Risk
8
Risikomaß
7
Risk measure
7
Mathematical programming
6
Mathematische Optimierung
6
robust portfolio optimization
5
Decision under uncertainty
4
Entscheidung unter Unsicherheit
4
Multivariate risk measure
3
convex risk measure
3
data central regions
3
distortion risk measure
3
weighted-mean trimmed regions
3
Asset allocation
2
Conditional value-at-risk
2
Estimation theory
2
Fundamental factors
2
India
2
Indien
2
Measurement
2
Messung
2
Omega ratio optimization
2
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2
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2
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2
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2
S&P BSE 100
2
S&P BSE 30
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2
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1
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Bazovkin, Pavel
3
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2
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2
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2
Kim, Jang Ho
2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät
1
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OR spectrum : quantitative approaches in management
3
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ECONIS (ZBW)
16
RePEc
2
EconStor
1
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11
Geometrical framework for
robust
portfolio
optimization
Bazovkin, Pavel
-
2014
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the...
Persistent link: https://www.econbiz.de/10010407976
Saved in:
12
Closed-form solutions for worst-case law invariant risk measures with application to
robust
portfolio
optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
13
Managing ambiguity in asset allocation
Kaya, Hakan
- In:
The journal of asset management
18
(
2017
)
3
,
pp. 163-187
Persistent link: https://www.econbiz.de/10011704212
Saved in:
14
Omega-CVaR portfolio optimization and its worst case analysis
Sharma, Amita
;
Utz, Sebastian
;
Mehra, Aparna
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
2
,
pp. 505-539
Persistent link: https://www.econbiz.de/10011707138
Saved in:
15
Stabilized column generation for the temporal knapsack problem using dual-optimal inequalities
Gschwind, Timo
;
Irnich, Stefan
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
2
,
pp. 541-556
Persistent link: https://www.econbiz.de/10011707141
Saved in:
16
An adaptive
robust
portfolio
optimization
model with loss constraints based on data-driven polyhedral uncertainty sets
Fernandes, Betina
;
Street, Alexandre
;
Valladão, Davi
; …
- In:
European journal of operational research : EJOR
255
(
2016
)
3
,
pp. 961-970
Persistent link: https://www.econbiz.de/10011556541
Saved in:
17
Deciphering robust portfolios
Kim, Woo Chang
;
Kim, Jang Ho
;
Fabozzi, Frank J.
- In:
Journal of Banking & Finance
45
(
2014
)
C
,
pp. 1-8
Robust
portfolio
optimization
has been developed to resolve the high sensitivity to inputs of the Markowitz mean …
Persistent link: https://www.econbiz.de/10010943187
Saved in:
18
Log-robust portfolio management after transaction costs
Pae, Yuntaek
;
Sabbaghi, Navid
- In:
OR spectrum : quantitative approaches in management
36
(
2014
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10010251264
Saved in:
19
Deciphering robust portfolios
Kim, Woo Chang
;
Kim, Jang Ho
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
45
(
2014
),
pp. 1-8
Persistent link: https://www.econbiz.de/10010466688
Saved in:
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