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Robustness-based portfolio optimization under epistemic uncertainty
Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219
discussed empirically based on portfolio return and risk. …
Persistent link: https://www.econbiz.de/10012020120
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Risk-averse regret minimization in multi-stage stochastic programs
Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - 2021
Persistent link: https://www.econbiz.de/10012939439
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
Fernandes, Betina; Street, Alexandre; Valladão, Davi; … - In: European journal of operational research : EJOR 255 (2016) 3, pp. 961-970
Persistent link: https://www.econbiz.de/10011556541
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Robust worst-case optimal investment
Desmettre, Sascha; Korn, Ralf; Ruckdeschel, Peter; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 677-701
Persistent link: https://www.econbiz.de/10011296715
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Robust minimum variance portfolio optimization modelling under scenario uncertainty
Xidonas, Panos; Hassapis, Christis; Soulis, John; … - In: Economic modelling 64 (2017), pp. 60-71
Persistent link: https://www.econbiz.de/10011756471
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Stability advances in robust portfolio optimization under parallelepiped uncertainty
Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261
Persistent link: https://www.econbiz.de/10011965635
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Extending the scope of robust quadratic optimization
Marandi, Ahmadreza; Ben-Tal, Aharon; Hertog, Dirk den; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 211-226
Persistent link: https://www.econbiz.de/10013358924