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Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283

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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488

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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming

Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632

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Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

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Portfolio management without probabilities or statistics

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Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint

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Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk parity, smart beta, algorithmic trading, and hedging. It is usually represented via multi-factor model. The form’s fewer parameters and structure—comovement through...

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A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur - In: Computers & operations research : and their … 139 (2022), pp. 1-13

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A theory of Markovian time-inconsistent stochastic control in discrete time

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