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Portfolio selection under distributional uncertainty : a relative robust CVaR approach
Huang, Dashan; Zu, Shushang; Fabozzi, Frank J.; … - In: European journal of operational research : EJOR 203 (2010) 1, pp. 185-194
Persistent link: https://www.econbiz.de/10003928195
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Capital asset pricing model (CAPM) with drawdown measure
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498
Persistent link: https://www.econbiz.de/10010356712
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Robust portfolios that do not tilt factor exposure
Kim, Woo Chang; Kim, Min Jeong; Kim, Jang Ho; Fabozzi, … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 411-421
Persistent link: https://www.econbiz.de/10010356742
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Inverse portfolio problem with coherent risk measures
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 249 (2016) 2, pp. 740-750
Persistent link: https://www.econbiz.de/10011436861
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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
Ponomareva, K.; Roman, D.; Date, P. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 678-687
Persistent link: https://www.econbiz.de/10010486971
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Direct data-based decision making under uncertainty
Grechuk, Bogdan; Zabarankin, Michael - In: European journal of operational research : EJOR 267 (2018) 1, pp. 200-211
Persistent link: https://www.econbiz.de/10011812399
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Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"
Contreras, Juan Pablo; Bosch, Paul; Herrera, Mauricio - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1180-1184
Persistent link: https://www.econbiz.de/10011866903