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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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Worst-case value at risk on nonlinear portfolios
Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management science : journal of the Institute for … 59 (2013) 1, pp. 172-188
Persistent link: https://www.econbiz.de/10009711767
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Robust growth-optimal portfolios
Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
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Robust portfolio choice with learning in the framework of regret : single-period case
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-yi - In: Management science : journal of the Institute for … 58 (2012) 9, pp. 1732-1746
Persistent link: https://www.econbiz.de/10009655704
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Multiperiod stock allocation via robust optimization
Jackson, Peter L.; Muckstadt, John A.; Li, Yuexing - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 794-818
Persistent link: https://www.econbiz.de/10012000746
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Machine learning and portfolio optimization
Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154
Persistent link: https://www.econbiz.de/10011847178
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Superreplication of financial derivatives via convex programming
Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339
Persistent link: https://www.econbiz.de/10011729383
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Economic implications of nonlinear pricing kernels
Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380
Persistent link: https://www.econbiz.de/10011760496
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
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Correlated cluster-based randomized experiments : robust variance minimization
Candogan, Ozan; Chen, Chen; Niazadeh, Rad - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 4069-4086
Persistent link: https://www.econbiz.de/10014552526