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KDE distributionally robust portfolio optimization with higher moment coherent risk
Annals of Operations Research
◽
10.1007/s10479-021-04171-4
◽
2021
◽
Author(s):
Wei Liu
◽
Li Yang
◽
Bo Yu
Keyword(s):
Portfolio Optimization
◽
Coherent Risk
◽
Robust Portfolio Optimization
◽
Robust Portfolio
◽
Distributionally Robust
Download Full-text
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References
A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set
IEEE Access
◽
10.1109/access.2020.3047967
◽
2021
◽
Vol 9
◽
pp. 3174-3194
Author(s):
Ningning Du
◽
Yankui Liu
◽
Ying Liu
Keyword(s):
Portfolio Optimization
◽
Optimization Method
◽
Data Driven
◽
Robust Portfolio Optimization
◽
Robust Portfolio
◽
Distributionally Robust
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Distributionally Robust Portfolio Optimization
2019 IEEE 58th Conference on Decision and Control (CDC)
◽
10.1109/cdc40024.2019.9029381
◽
2019
◽
Author(s):
I. E. Bardakci
◽
C. M. Lagoa
Keyword(s):
Portfolio Optimization
◽
Robust Portfolio Optimization
◽
Robust Portfolio
◽
Distributionally Robust
Download Full-text
Distributionally Robust Portfolio Optimization with STARR Performance Measure
SSRN Electronic Journal
◽
10.2139/ssrn.3542667
◽
2019
◽
Author(s):
Ran Ji
◽
Miguel Lejeune
◽
Zhengyang Fan
Keyword(s):
Portfolio Optimization
◽
Performance Measure
◽
Robust Portfolio Optimization
◽
Robust Portfolio
◽
Distributionally Robust
Download Full-text
Distributionally robust portfolio optimization with linearized STARR performance measure
Quantitative Finance
◽
10.1080/14697688.2021.1993623
◽
2021
◽
pp. 1-15
Author(s):
Ran Ji
◽
Miguel A. Lejeune
◽
Zhengyang Fan
Keyword(s):
Portfolio Optimization
◽
Performance Measure
◽
Robust Portfolio Optimization
◽
Robust Portfolio
◽
Distributionally Robust
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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