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Can robust portfolio optimisation help to build better portfolios?
Scherer, Bernd - In: The journal of asset management 7 (2007) 6, pp. 373-387
Persistent link: https://www.econbiz.de/10003439376
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A robust optimization approach to pension fund management
Iyengar, Garud; Ma, Alfred Ka Chun - In: The journal of asset management 11 (2010/11) 2/3, pp. 163-177
Persistent link: https://www.econbiz.de/10008663608
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Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy
Hest, Tim van; De Waegenaere, Anja - In: The journal of asset management 8 (2007/08) 3, pp. 176-187
Persistent link: https://www.econbiz.de/10003543584
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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe
Deng, Geng; Dulaney, Tim; McCann, Craig; Wang, Olivia - In: The journal of asset management 14 (2013) 5, pp. 293-305
Persistent link: https://www.econbiz.de/10010237942
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A robust framework for risk parity portfolios
Costa, Giorgio; Kwon, Roy - In: The journal of asset management 21 (2020) 5, pp. 447-466
Persistent link: https://www.econbiz.de/10012292871
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Asset allocation with multiple analysts' views : a robust approach
Lu, I-Chen; Tee, Kaihong; Li, Baibing - In: The journal of asset management 20 (2019) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10012059802
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The Pástor-Stambaugh empirical model revisited : evidence from robust instruments
Racicot, François-Éric; Rentz, William F. - In: The journal of asset management 16 (2015) 5, pp. 329-341
Persistent link: https://www.econbiz.de/10011416607
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Portfolio selection in the presence of systemic risk
Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
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Pure return persistence, Hurst exponents and hedge fund selection : a practical note
Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330
Persistent link: https://www.econbiz.de/10011634661
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Efficient skewness/semivariance portfolios
Brito, Rui Pedro; Sebastião, Hélder; Godinho, Pedro … - In: The journal of asset management 17 (2016) 5, pp. 331-346
Persistent link: https://www.econbiz.de/10011634675