Search Results - subject:"robust portfolio optimization"

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

Robust reward-risk performance measures with weakly second-order stochastic dominance constraints

Kouaissah, Noureddine - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 53-62

Persistent link: https://www.econbiz.de/10014427899

Worst-case analysis of Omega-VaR ratio optimization model

Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10013441559

Robust utility maximization under model uncertainty via a penalization approach

Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Mathematics and financial economics 16 (2022) 1, pp. 51-88

Persistent link: https://www.econbiz.de/10013167700

Robust conditional expectation reward-risk performance measures

Kouaissah, Noureddine - In: Economics letters 202 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012607181

Is being "robust" beneficial? : a perspective from the Indian market

Girach, Mohammed Bilal; Oberoi, Shashank; Chakrabarty, … - In: Asia Pacific financial markets 28 (2021) 4, pp. 469-497

Persistent link: https://www.econbiz.de/10012697495

Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set

Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10012239481

Can robust optimization offer improved portfolio performance? : an empirical study of Indian market

Oberoi, Shashank; Girach, Mohammed Bilal; Chakrabarty, … - In: Journal of quantitative economics 18 (2020) 3, pp. 611-630

Persistent link: https://www.econbiz.de/10012418857

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/10010420290

Geometrical framework for robust portfolio optimization

Bazovkin, Pavel - Seminar für Wirtschafts- und Sozialstatistik, … - 2014

Persistent link: https://www.econbiz.de/10010958909