Delegated portfolio management under ambiguity aversion

DOI10.1016/j.orl.2014.02.002zbMath1408.91195OpenAlexW2074862948MaRDI QIDQ1667217

Annalisa Fabretti, Stefano Herzel, Mustafa Çelebi Pinar

Publication date: 27 August 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/26320

zbMATH Keywords

ambiguityrobust optimizationdelegated portfolio management

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions ⋮ The robust Merton problem of an ambiguity averse investor ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Cites Work

• Robust linear optimization under general norms.
• Robust portfolios: contributions from operations research and finance
• Delegated portfolio management
• Robust solutions of uncertain linear programs
• Robust asset allocation
• Robust profit opportunities in risky financial portfolios
• Robust Convex Optimization
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Portfolio Selection with Robust Estimation
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust Portfolio Selection Problems

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