Robust Portfolio Optimization

Handbook of Finance ◽

10.1002/9780470404324.hof003068 ◽

2008 ◽

Cited By ~ 2

Author(s):

Dessislava A. Pachamanova ◽

Petter N. Kolm ◽

Frank J. Fabozzi ◽

Sergio M. Focardi

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Assessing Cost, Performance and Risk of Human Lunar Exploration Missions Using Robust Portfolio Optimization

2018 AIAA SPACE and Astronautics Forum and Exposition ◽

10.2514/6.2018-5179 ◽

2018 ◽

Author(s):

William J. O'Neill ◽

Daniel DeLaurentis

Keyword(s):

Portfolio Optimization ◽

Lunar Exploration ◽

Cost Performance ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust Portfolio Optimization with Value-at-Risk Adjusted Sharpe Ratio

SSRN Electronic Journal ◽

10.2139/ssrn.2146219 ◽

2012 ◽

Author(s):

Geng Deng ◽

Tim Dulaney ◽

Craig J. McCann ◽

Olivia Wang

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Sharpe Ratio ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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A practical guide to robust portfolio optimization

Quantitative Finance ◽

10.1080/14697688.2020.1849780 ◽

2021 ◽

pp. 1-18

Author(s):

C. Yin ◽

R. Perchet ◽

F. Soupé

Keyword(s):

Portfolio Optimization ◽

Practical Guide ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust portfolio optimization with copulas

European Journal of Operational Research ◽

10.1016/j.ejor.2013.12.022 ◽

2014 ◽

Vol 235 (1) ◽

pp. 28-37 ◽

Cited By ~ 43

Author(s):

Iakovos Kakouris ◽

Berç Rustem

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust portfolio optimization using second-order cone programming

Optimizing Optimization ◽

10.1016/b978-0-12-374952-9.00001-4 ◽

2010 ◽

pp. 1-22 ◽

Cited By ~ 2

Author(s):

Fiona Kolbert ◽

Laurence Wormald

Keyword(s):

Portfolio Optimization ◽

Second Order ◽

Cone Programming ◽

Second Order Cone Programming ◽

Robust Portfolio Optimization ◽

Second Order Cone ◽

Robust Portfolio

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Robust portfolio optimization: a categorized bibliographic review

Annals of Operations Research ◽

10.1007/s10479-020-03630-8 ◽

2020 ◽

Vol 292 (1) ◽

pp. 533-552 ◽

Cited By ~ 1

Author(s):

Panos Xidonas ◽

Ralph Steuer ◽

Christis Hassapis

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust Portfolio Optimization with Multi-Factor Stochastic Volatility

Journal of Optimization Theory and Applications ◽

10.1007/s10957-020-01687-w ◽

2020 ◽

Vol 186 (1) ◽

pp. 264-298

Author(s):

Ben-Zhang Yang ◽

Xiaoping Lu ◽

Guiyuan Ma ◽

Song-Ping Zhu

Keyword(s):

Portfolio Optimization ◽

Stochastic Volatility ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust portfolio optimization with second order stochastic dominance constraints

Computers & Industrial Engineering ◽

10.1016/j.cie.2020.106396 ◽

2020 ◽

Vol 144 ◽

pp. 106396 ◽

Cited By ~ 1

Author(s):

Ruchika Sehgal ◽

Aparna Mehra

Keyword(s):

Portfolio Optimization ◽

Stochastic Dominance ◽

Second Order ◽

Order Stochastic Dominance ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Second Order Stochastic Dominance

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Robust portfolio optimization: a conic programming approach

Computational Optimization and Applications ◽

10.1007/s10589-011-9419-x ◽

2011 ◽

Vol 52 (2) ◽

pp. 463-481 ◽

Cited By ~ 15

Author(s):

Kai Ye ◽

Panos Parpas ◽

Berç Rustem

Keyword(s):

Portfolio Optimization ◽

Conic Programming ◽

Programming Approach ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

Quantitative Finance ◽

10.1080/14697680903280483 ◽

2011 ◽

Vol 11 (10) ◽

pp. 1503-1516 ◽

Cited By ~ 14

Author(s):

Martin Hellmich ◽

Stefan Kassberger

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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