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A log-robust optimization approach to portfolio management
16 references·0 citing·33 second hop
A log-robust optimization approach to portfolio management (2009)A log-robust optimization approach to por…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Robust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…The Price of Robustness (2004)The Price of RobustnessRobust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Robust Convex Optimization (1998)Robust solutions of Linear Programming problems contaminated with uncertain data (2000)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Theory and Applications of Robust Optimization (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2004The Price of Robustness4,620 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
  • 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited

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2007
Robust Portfolio Optimization and Management
402 cited

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