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Can robust portfolio optimisation help to build better portfolios? · Study

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ArticleCan robust portfolio optimisation help to build better portfolios?

Bernd Scherer2007

OA

Articlebronze2007

Can robust portfolio optimisation help to build better portfolios?

61 citations·0/0 files stored·Journal of Asset Management

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1961Risk, Ambiguity, and the Savage Axioms 1989Maxmin expected utility with non-unique prior 2020A Course in Microeconomic Theory 1989Annals of operations research 1990A Course in Microeconomic Theory 1986Bayes-Stein Estimation for Portfolio Analysis 2004Robust Portfolio Rules and Asset Pricing 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

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2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk 2021Robust optimization approaches for portfolio selection: a comparative analysis 2022Robust portfolio selection problems: a comprehensive review 2012What do robust equity portfolio models really do?

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Year2007

Typearticle

Published2007-03-01

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations61

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1057/palgrave.jam.2250049

openalex_workW2087009359

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