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  • Search: subject:"Robust portfolio selection"
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Year of publication
Subject
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Robust portfolio selection 3 Portfolio selection 2 Portfolio-Management 2 Robust statistics 2 Robustes Verfahren 2 Theorie 2 Theory 2 Ambiguity aversion 1 Backward stochastic differential equation 1 Conditional value-at-risk 1 Decision under uncertainty 1 Decomposition methods 1 Dynamic multivariate copula 1 Entscheidung unter Unsicherheit 1 Finance 1 Financial crisis 1 Finanzkrise 1 GJR-GARCH-EVT 1 Kurtosis 1 Mean-variance portfolio selection 1 Multivariate Verteilung 1 Multivariate distribution 1 Polynomial optimization problems 1 Portfolio constraint 1 Risikoaversion 1 Risikomanagement 1 Risikomaß 1 Risk aversion 1 Risk management 1 Risk measure 1 Skewness 1 Stochastic process 1 Stochastischer Prozess 1
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Online availability
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Free 3
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 3
Author
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Atwi, Majed 1 Garces, Len Patrick Dominic M. 1 Jiang, Yifu 1 Kleniati, P. M. 1 Olmo, Jose 1 Rustem, Berc 1 Shen, Yang 1
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Institution
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COMISEF 1
Published in...
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European journal of operational research : EJOR 1 The North American journal of economics and finance : a journal of theory and practice 1 Working Papers / COMISEF 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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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
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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
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Portfolio Decisions with Higher Order Moments
Kleniati, P. M.; Rustem, Berc - COMISEF - 2009
In this paper, we address the global optimization of two interesting nonconvex problems in finance. We relax the normality assumption underlying the classical Markowitz mean-variance portfolio optimization model and consider the incorporation of skewness (third moment) and kurtosis (fourth...
Persistent link: https://www.econbiz.de/10008491702
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