Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
From MaRDI portal
Publication:319341
DOI10.1016/j.ejor.2015.01.010zbMath1346.91215OpenAlexW2288682277MaRDI QIDQ319341
Sessi Tokpavi, Benoit Vaucher, Bertrand Maillet
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.01.010
parameter uncertaintymodel riskrobust least squaresglobal minimum variance portfoliorobust portfolio
Related Items
Risk-based strategies: the social responsibility of investment universes does matter ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Good deals and benchmarks in robust portfolio selection ⋮ Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Asset allocation with correlation: a composite trade-off ⋮ A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ Robust multiobjective portfolio optimization: A minimax regret approach ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Long-run wavelet-based correlation for financial time series ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Global minimum variance portfolios under uncertainty: a robust optimization approach ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls
Cites Work
- Unnamed Item
- Unnamed Item
- An Analysis of the Total Least Squares Problem
- A two-person dynamic equilibrium under ambiguity
- Automatic robust adaptive beamforming via ridge regression
- Robust portfolios: contributions from operations research and finance
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Maxmin expected utility with non-unique prior
- Recent developments in modeling preferences: Uncertainty and ambiguity
- Robust solutions of uncertain linear programs
- Recent developments in robust portfolios with a worst-case approach
- Recent advances in robust optimization: an overview
- Robust asset allocation
- Near optimal solutions to least-squares problems with stochastic uncertainty
- Robust Convex Optimization
- A Regularized Robust Design Criterion for Uncertain Data
- Risk, Ambiguity, and the Savage Axioms
- Sparse and stable Markowitz portfolios
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- Theory and Applications of Robust Optimization
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Parameter Estimation in the Presence of Bounded Data Uncertainties
- Vast Portfolio Selection With Gross-Exposure Constraints
- On Consistency and Sparsity for Principal Components Analysis in High Dimensions
- Learning Under Ambiguity
- Common risk factors in the returns on stocks and bonds
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Robust Portfolio Selection Problems
