Robust portfolio asset allocation and risk measures
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Publication:5919995
DOI10.1007/s10479-012-1266-3zbMath1269.91081OpenAlexW2069368191MaRDI QIDQ5919995
Raffaella Recchia, Maria Grazia Scutellà
Publication date: 8 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1266-3
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Robust mean-variance portfolio through the weighted \(L^p\) depth function ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Recent advancements in robust optimization for investment management ⋮ Good deals and benchmarks in robust portfolio selection ⋮ Optimal asset allocation: risk and information uncertainty ⋮ Developing a multi-period robust optimization model considering American style options ⋮ Smart network based portfolios ⋮ Minimum Rényi entropy portfolios ⋮ An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets ⋮ Robust multiobjective portfolio optimization: A minimax regret approach ⋮ The impact of covariance misspecification in risk-based portfolios ⋮ Parameter-free robust optimization for the maximum-Sharpe portfolio problem ⋮ Multi-period portfolio selection with drawdown control
Uses Software
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