Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

2003 ◽  
Vol 51 (4) ◽  
pp. 543-556 ◽  
Author(s):  
Laurent El Ghaoui ◽  
Maksim Oks ◽  
Francois Oustry
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Conic Programming ◽  
Programming Approach ◽  
Worst Case ◽  
Robust Portfolio Optimization ◽  
Robust Portfolio

scholarly journals Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

2013 ◽  
Vol 14 (5) ◽  
pp. 293-305 ◽  
Author(s):  
Geng Deng ◽  
Tim Dulaney ◽  
Craig McCann ◽  
Olivia Wang
Keyword(s):  
At Risk ◽  
Portfolio Optimization ◽  
Value At Risk ◽  
Robust Portfolio Optimization ◽  
Robust Portfolio ◽  
Sharpe Ratios
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