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Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 4-36). 2017
Persistent link: https://www.econbiz.de/10012111503
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Robust optimization approaches to single period portfolio allocation problem
Gülpınar, Nalân; Hu, Zhezhi - In: Robustness analysis in decision aiding, optimization, …, (pp. 265-283). 2016
Persistent link: https://www.econbiz.de/10011518649
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On the robustness of portfolio allocation under copula misspecification
Ben Saida, Abdallah; Prigent, Jean-Luc - In: Risk management decisions and wealth management in …, (pp. 631-652). 2018
Persistent link: https://www.econbiz.de/10011871693
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Recent advancements in robust optimization for investment management
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Analytical models for financial modeling and risk management, (pp. 183-198). 2018
Persistent link: https://www.econbiz.de/10011897168
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On robust portfolio and naïve diversification : mixing ambiguous and unambiguous assets
Paç, A. Burak; Pınar, Mustafa Ç. - In: Analytical models for financial modeling and risk management, (pp. 223-253). 2018
Persistent link: https://www.econbiz.de/10011897175
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Robust equity portfolio performance
Kim, Jang Ho; Kim, Woo Chang; Kwon, Do-Gyun; Fabozzi, … - In: Analytical models for financial modeling and risk management, (pp. 293-312). 2018
Persistent link: https://www.econbiz.de/10011897181
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A robust optimization approach to R&D portfolio selection
Hassanzadeh, Farhad; Modarres, Mohammad; Saffari, Mohammad - In: Operations research proceedings 2008 : selected papers …, (pp. 451-456). 2009
Persistent link: https://www.econbiz.de/10003841943
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Robust portfolio optimization using second-order cone programming
Kolbert, Fiona; Wormald, Laurence - In: Optimizing optimization : the next generation of …, (pp. 3-22). 2010
Persistent link: https://www.econbiz.de/10003939044
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What do robust equity portfolio models really do?
Kim, Woo Chang; Kim, Jang Ho; Ahn, So Hyoung; Fabozzi, … - In: Operations research models in banking management, (pp. 141-168). 2013
Persistent link: https://www.econbiz.de/10009739301
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A review of perturbative approaches for robust optimal portfolio problems
Trojani, Fabio; Vanini, Paolo - In: Computational methods in decision-making, economics and …, (pp. 109-138). 2010
Persistent link: https://www.econbiz.de/10009153092