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Correlated cluster-based randomized experiments : robust variance minimization
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
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Data-driven optimization with distributionally robust secondorder stochastic dominance constraints
Peng, Chun; Delage, Erick - 2021
Persistent link: https://www.econbiz.de/10012939420
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Target-oriented distributionally robust optimization and its applications to surgery allocation
Chow, Vincent Tsz Fai; Cui, Zheng; Long, Daniel Zhuoyu - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2058-2072
Persistent link: https://www.econbiz.de/10013362645
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Test score algorithms for budgeted stochastic utility maximization
Lee, Dabeen; Vojnovic, Milan; Yun, Se-Young - In: INFORMS journal on optimization 5 (2023) 1, pp. 27-67
Persistent link: https://www.econbiz.de/10014292034
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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305
Persistent link: https://www.econbiz.de/10010237942
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Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz; Uzunashvili, T. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
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Robustifying convex risk measures for linear portfolios : a nonparametric approach
Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315
Persistent link: https://www.econbiz.de/10010471862
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Robust investment management with uncertainty in fund managers' asset allocation
Dong, Yang; Thiele, Aurélie - In: RAIRO / Operations research 49 (2015) 4, pp. 821-844
Persistent link: https://www.econbiz.de/10011547056
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An approach to improve meanvariance portfolio optimization model
Yanushevsky, Rafael; Yanushevsky's, Daniel - In: The journal of asset management 16 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011413306
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A robust perspective on transaction costs in portfolio optimization
Olivares-Nadal, Alba V.; DeMiguel, Victor - In: Operations research 66 (2018) 3, pp. 733-739
Persistent link: https://www.econbiz.de/10011884278