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Robust optimization framework for cardinality constrained portfolio problem
16 references·8 citing·33 second hop
Robust optimization framework for cardinality constrained portfolio problem (2011)Robust optimization framework for cardina…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Portfolio Selection With Robust Estimation (2007)Portfolio Selection With Robu…Risk and Asset Allocation (2005)Risk and Asset AllocationThe Price of Robustness (2004)The Price of RobustnessRobust linear optimization under general norms (2004)Robust linear optimization un…Robust Asset Allocation (2004)Robust Asset AllocationWorst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Robust optimization ? methodology and applications (2002)Robust optimization ? methodo…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Estimation Risk and Optimal Portfolio Choice. (1981)Estimation Risk and Optimal P…Estimation Risk and Optimal Portfolio Choice. (1980)Estimation Risk and Optimal P…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionRobust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA (2024)Robust, extended goal program…Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…Neural network with fixed noise for index-tracking portfolio optimization (2021)Neural network with fixed noi…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…Recent advancements in robust optimization for investment management (2017)Recent advancements in robust…A novel hybrid algorithm based on a harmony search and artificial bee colony for solving a portfolio optimization problem using a mean-semi variance approach (2016)A novel hybrid algorithm base…Stock index tracking by Pareto efficient genetic algorithm (2013)Stock index tracking by Paret…Credit portfolio management using two-level particle swarm optimization (2013)Credit portfolio management u…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)Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Convex Approximations of Chance Constrained Programs (2006)Robust optimization – A comprehensive survey (2007)A robust optimization approach to closed-loop supply chain network design under uncertainty (2010)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Distributionally Robust Optimization and Its Tractable Approximations (2010)60 Years of portfolio optimization: Practical challenges and current trends (2013)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)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)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Robust portfolios: contributions from operations research and finance (2009)Robust risk measurement and model risk (2013)Twenty years of linear programming based portfolio optimization (2013)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)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2004The Price of Robustness4,620 cited
  • 1952Portfolio Selection4,609 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1999Robust solutions of uncertain linear programs1,832 cited
  • 2002Robust optimization ? methodology and applications1,409 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 2004Robust linear optimization under general norms482 cited
  • 2005Risk and Asset Allocation399 cited
  • 2004Robust Asset Allocation388 cited
  • 2007Portfolio Selection With Robust Estimation326 cited
  • 1981Estimation Risk and Optimal Portfolio Choice.304 cited
  • 1980Estimation Risk and Optimal Portfolio Choice.286 cited

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Cited by

  • 2016A novel hybrid algorithm based on a harmony search and artificial bee colony for solving a portfolio optimization problem using a mean-semi variance approach45 cited
  • 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
  • 2013Stock index tracking by Pareto efficient genetic algorithm38 cited
  • 2017Recent advancements in robust optimization for investment management36 cited
  • 2013Credit portfolio management using two-level particle swarm optimization34 cited
  • 2021Neural network with fixed noise for index-tracking portfolio optimization32 cited
  • 2024Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA31 cited