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Giuzio, Margherita - 2017

Persistent link: https://www.econbiz.de/10011914236

Exploiting Partial Correlations in Distributionally Robust Optimization

Padmanabhan, Divya; Natarajan, Karthik; Murthy, Karthyek - 2018

In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …

Persistent link: https://www.econbiz.de/10014110557

Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

Portfolio selection with a rank-deficient covariance matrix

Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021

Persistent link: https://www.econbiz.de/10012605415

Candogan, Ozan; Chen, Chen; Niazadeh, Rad - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 4069-4086

Persistent link: https://www.econbiz.de/10014552526

Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix

Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...

Persistent link: https://www.econbiz.de/10015084447

Portfolio selection with a rank-deficient covariance matrix

Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269

Persistent link: https://www.econbiz.de/10014636734

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

Shaw, William Thornton - 2011

computation. Good comparisons with established results in Mean-Variance and CVaR optimization are obtained, and we give some … random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340

Optimal uncertainty size in distributionally robust inverse covariance estimation

Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621

Persistent link: https://www.econbiz.de/10012131899

Multi-performance optimisation in WEDM using Taguchi method embedded with utility concept

Padhi, P. C.; Mahapatra, Siba Sankar; Yadav, S. N.; … - In: International journal of procurement management 7 (2014) 1, pp. 50-70

Persistent link: https://www.econbiz.de/10010498662