On Worst-Case Portfolio Optimization

SIAM Journal on Control and Optimization ◽

10.1137/060657145 ◽

2007 ◽

Vol 46 (6) ◽

pp. 2013-2030 ◽

Author(s):

Ralf Korn ◽

Mogens Steffensen

Keyword(s):

Portfolio Optimization ◽

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Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk

Risks ◽

10.3390/risks2040469 ◽

2014 ◽

Vol 2 (4) ◽

pp. 469-488

Author(s):

Tina Engler ◽

Ralf Korn

Keyword(s):

Interest Rate ◽

Portfolio Optimization ◽

Interest Rate Risk ◽

Stochastic Interest Rate ◽

Rate Risk ◽

Stochastic Interest

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Fuzzy portfolio optimization model based on worst-case VaR

2005 International Conference on Machine Learning and Cybernetics ◽

10.1109/icmlc.2005.1527550 ◽

2005 ◽

Author(s):

Yan-Chun Liu ◽

Tie Wang ◽

Li-Qun Gao ◽

Ping Ren ◽

Bao-Zheng Liu

Keyword(s):

Portfolio Optimization ◽

Optimization Model ◽

Model Based ◽

Portfolio Optimization Model

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Worst-case robust decisions for multi-period mean–variance portfolio optimization

European Journal of Operational Research ◽

10.1016/j.ejor.2006.02.046 ◽

2007 ◽

Vol 183 (3) ◽

pp. 981-1000 ◽

Author(s):

Nalan Gülpınar ◽

Berç Rustem

Keyword(s):

Portfolio Optimization ◽

Robust Decisions ◽

Mean Variance Portfolio ◽

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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach

Mathematical Methods of Operations Research ◽

10.1007/s00186-005-0444-3 ◽

2005 ◽

Vol 62 (1) ◽

pp. 123-140 ◽

Author(s):

Ralf Korn ◽

Olaf Menkens

Keyword(s):

Portfolio Optimization ◽

Stochastic Control ◽

Case Scenario ◽

Control Approach ◽

Worst Case Scenario

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A new approach for worst-case regret portfolio optimization problem

Discrete & Continuous Dynamical Systems - S ◽

10.3934/dcdss.2019050 ◽

2019 ◽

Vol 12 (4-5) ◽

pp. 761-770

Author(s):

Ying Ji ◽

◽

Shaojian Qu ◽

Yeming Dai ◽

Keyword(s):

Portfolio Optimization ◽

Optimization Problem ◽

New Approach ◽

Portfolio Optimization Problem

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Worst-Case Portfolio Optimization in a Market with Bubbles

SSRN Electronic Journal ◽

10.2139/ssrn.2319913 ◽

2013 ◽

Author(s):

Christoph Belak ◽

SSren Christensen ◽

Olaf Menkens

Keyword(s):

Portfolio Optimization ◽

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Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

Operations Research ◽

10.1287/opre.2018.1736 ◽

2018 ◽

Vol 66 (6) ◽

pp. 1533-1541 ◽

Author(s):

Jonathan Yu-Meng Li

Keyword(s):

Closed Form ◽

Portfolio Optimization ◽

Risk Measures ◽

Case Law ◽

Technical Note ◽

Closed Form Solutions ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Law Invariant Risk Measures

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Omega-CVaR Portfolio Optimization and Its Worst Case Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.2714945 ◽

2016 ◽

Author(s):

Amita Sharma ◽

Sebastian Utz ◽

Aparna Mehra

Keyword(s):

Portfolio Optimization ◽

Case Analysis ◽

Worst Case Analysis ◽

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Worst-case CVaR based portfolio optimization models with applications to scenario planning

Optimization Methods and Software ◽

10.1080/10556780902865942 ◽

2009 ◽

Vol 24 (6) ◽

pp. 933-958 ◽

Author(s):

Xiaojiao Tong ◽

Felix Wu ◽

Liqun Qi

Keyword(s):

Portfolio Optimization ◽

Scenario Planning ◽

Optimization Models ◽

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Worst-case portfolio optimization with proportional transaction costs

Stochastics ◽

10.1080/17442508.2014.991325 ◽

2015 ◽

Vol 87 (4) ◽

pp. 623-663 ◽

Author(s):

Christoph Belak ◽

Olaf Menkens ◽

Jörn Sass

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Proportional Transaction Costs

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