Robust portfolio optimization: a categorized bibliographic review
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Publication:827129
DOI10.1007/s10479-020-03630-8zbMath1456.90120OpenAlexW3021248164MaRDI QIDQ827129
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03630-8
Related Items (8)
Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ Distributionally robust end-to-end portfolio construction ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Online multi-criteria portfolio analysis through compromise programming models built on the underlying principles of fuzzy outranking ⋮ Robustifying Markowitz ⋮ Continuous-time portfolio optimization for absolute return funds ⋮ Parameter-free robust optimization for the maximum-Sharpe portfolio problem ⋮ A practical guide to robust portfolio optimization
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