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A robust optimization approach to asset-liability management under time-varying investment opportunities
16 references·3 citing·31 second hop
A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)A robust optimization approach to asset-l…Robust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…A Robust Optimization Perspective on Stochastic Programming (2007)A Robust Optimization Perspec…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The Price of Robustness (2004)The Price of RobustnessRobust linear optimization under general norms (2004)Robust linear optimization un…Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Portfolio and Consumption Dec…A multivariate model of strategic asset allocation (2002)A multivariate model of strat…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationDynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange (2020)A novel two-phase robust port…Stress testing interest rate risk exposure (2014)Stress testing interest rate …Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Adjustable robust solutions of uncertain linear programs (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)High dimensional covariance matrix estimation using a factor model (2008)Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)An Intertemporal Capital Asset Pricing Model (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Robust optimization ? methodology and applications (2002)Convex Approximations of Chance Constrained Programs (2006)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Theory and Applications of Robust Optimization (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2004The Price of Robustness4,620 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2002A multivariate model of strategic asset allocation551 cited
  • 2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets513 cited
  • 2004Robust linear optimization under general norms482 cited
  • 2007Robust Portfolio Optimization and Management402 cited
  • 2007

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A Robust Optimization Perspective on Stochastic Programming
362 cited

Cited by

  • 2022Robust portfolio selection problems: a comprehensive review43 cited
  • 2020A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange41 cited
  • 2014Stress testing interest rate risk exposure31 cited