Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
type: Item
instance of: scholarly article
title: Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
zbMATH Open document ID: 1402.91744
author: Minjie Fan
author: Shushang Zhu
author: Duan Li
publication date: 2018-11-02T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6971133
zbMATH Keywords: portfolio selection
zbMATH Keywords: mixture model
zbMATH Keywords: robust optimization
zbMATH Keywords: Bayesian learning
zbMATH Keywords: conditional value-at-risk
Wikidata QID: Q57445416
describes a project that uses: SeDuMi
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.08.015
OpenAlex ID: W2068697226
cites work: Second-order cone programming
cites work: Coherent measures of risk
cites work: Q4496020
cites work: Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
cites work: Inverse Optimization: A New Perspective on the Black-Litterman Model
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Computing efficient frontiers using estimated parameters
cites work: Robust portfolio selection using linear-matrix inequalities
cites work: Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: Robust portfolios: contributions from operations research and finance
cites work: Q5491546
cites work: Robust Portfolio Selection Problems
cites work: Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
cites work: An interior-point method for a class of saddle-point problems
cites work: Distributionally robust multi-item newsvendor problems with multimodal demand distributions
cites work: Portfolio selection with uncertain exit time: a robust CVaR approach
cites work: Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
cites work: Market Timing with Option-Implied Distributions: A Forward-Looking Approach
cites work: Q4230740
cites work: Robust tracking error portfolio selection with worst-case downside risk measures
cites work: Applications of second-order cone programming
cites work: Robust portfolio selection based on a joint ellipsoidal uncertainty set
cites work: Q4353852
cites work: Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
cites work: Constructing Risk Measures from Uncertainty Sets
cites work: Some remarks on the value-at-risk and the conditional value-at-risk
cites work: Mixture Densities, Maximum Likelihood and the EM Algorithm
cites work: Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
cites work: Robust Markov Decision Processes
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
cites work: Robust portfolio selection under downside risk measures
DOI: 10.1016/J.JEDC.2014.08.015
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6971133