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

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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

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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

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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

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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 ◽

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 ◽

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

Handbook of Finance ◽

10.1002/9780470404324.hof003068 ◽

2008 ◽

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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