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Robust stock and bond allocation with end-of-horizon effects
Dziecichowicz, Michael; Thiele, Aurélie C. - In: RAIRO / Operations research 53 (2019) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012113607
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Optimal portfolio selection with stochastic maximum downside risk and uncertain implicit transaction costs
Mushori, Sabastine; Chikobvu, Delson - In: Journal of economic and financial sciences 10 (2017) 3, pp. 411-423
Persistent link: https://www.econbiz.de/10011795920
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Finding common ground when experts disagree : robust portfolio decision analysis
Baker, Erin; Bosetti, Valentina; Salo, Ahti A. - 2017
Persistent link: https://www.econbiz.de/10011797427
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
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Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
Lotfi, Somayyeh; Zenios, Stauros Andrea - In: European journal of operational research : EJOR 269 (2018) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10011864407
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Direct data-based decision making under uncertainty
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 267 (2018) 1, pp. 200-211
Persistent link: https://www.econbiz.de/10011812399
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Distinguishing rational and behavioral models of momentum
Li, Dongmei - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-30
Persistent link: https://www.econbiz.de/10010389087
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Portfolio optimization under partial uncertainty and incomplete information : a probability multimeasure-based approach
La Torre, Davide; Mendivil, Franklin - In: Managerial multiple objective optimization, (pp. 267-279). 2018
Persistent link: https://www.econbiz.de/10011897021
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The robust Merton problem of an ambiguity averse investor
Biagini, Sara; Pınar, Mustafa Ç. - In: Mathematics and financial economics 11 (2017) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011900505
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Stability advances in robust portfolio optimization under parallelepiped uncertainty
Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261
Persistent link: https://www.econbiz.de/10011965635