Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens

DOI10.3138/infor.52.1.14OpenAlexW2000176804MaRDI QIDQ6160409

Mustafa Çelebi Pinar

Publication date: 9 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3138/infor.52.1.14

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Dynamic programming and stochastic control
• Robust solutions of uncertain linear programs
• Adjustable robust solutions of uncertain linear programs
• Adjustable robust optimization models for a nonlinear two-period system
• Lectures on Modern Convex Optimization
• Robust Convex Optimization
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Optimality of Affine Policies in Multistage Robust Optimization
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Robust Portfolio Selection Problems
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