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  • Search: subject:"Robust portfolio selection"
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Year of publication
Subject
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Portfolio selection 5 Portfolio-Management 5 Robust portfolio selection 5 Theorie 5 Theory 5 Robust statistics 4 Robustes Verfahren 4 Decision under uncertainty 3 Entscheidung unter Unsicherheit 3 Ambiguity aversion 2 Multivariate Verteilung 2 Multivariate distribution 2 Risiko 2 Risikoaversion 2 Risikomaß 2 Risk 2 Risk aversion 2 Risk measure 2 Ambiguity 1 Backward stochastic differential equation 1 Benchmark and CAPM 1 Benchmarking 1 CAPM 1 Change point analysis 1 Coherent risk under ambiguity 1 Conditional value-at-risk 1 Decomposition methods 1 Duality theory 1 Dynamic multivariate copula 1 Finance 1 Financial crisis 1 Finanzkrise 1 GJR-GARCH-EVT 1 Good deal 1 Kurtosis 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-variance portfolio selection 1 Model uncertainty 1 Nutzenfunktion 1
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Online availability
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Free 3 Undetermined 3
Type of publication
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Article 5 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5
Language
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English 6
Author
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Atwi, Majed 1 Balbás de la Corte, Alejandro 1 Balbás, Beatriz 1 Balbás, Raquel 1 Garces, Len Patrick Dominic M. 1 Han, Yingwei 1 Jiang, Yifu 1 Kleniati, P. M. 1 Källblad, Sigrid 1 Li, Jie 1 Li, Ping 1 Olmo, Jose 1 Rustem, Berc 1 Shen, Yang 1 Wu, Sanmang 1
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Institution
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COMISEF 1
Published in...
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European journal of operational research : EJOR 2 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance and stochastics 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) 5 RePEc 1
Showing 1 - 6 of 6
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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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Robust portfolio selection based on copula change analysis
Han, Yingwei; Li, Ping; Li, Jie; Wu, Sanmang - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 15, pp. 3635-3645
Persistent link: https://www.econbiz.de/10012423664
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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Good deals and benchmarks in robust portfolio selection
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 250 (2016) 2, pp. 666-678
Persistent link: https://www.econbiz.de/10011441733
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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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