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Can robust portfolio optimisation help to build better portfolios?
12 references·5 citing·40 second hop
Can robust portfolio optimisation help to build better portfolios? (2007)Can robust portfolio optimisation help to…A Course in Microeconomic Theory (2020)A Course in Microeconomic The…Efficient Asset Management (2008)Efficient Asset ManagementIntroduction to Modern Portfolio optimization with NUOPT and S-PLUS (2005)Introduction to Modern Portfo…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Portfolio Construction and Risk Budgeting (2002)Portfolio Construction and Ri…Pitfalls of a Minimax Approach to Model Uncertainty (2001)Pitfalls of a Minimax Approac…A Course in Microeconomic Theory (1990)A Course in Microeconomic The…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Annals of operations research (1989)Annals of operations researchBayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…Robust optimization approaches for portfolio selection: a comparative analysis (2021)Robust optimization approache…A Practical Guide to Robust Portfolio Optimization (2019)A Practical Guide to Robust P…What do robust equity portfolio models really do? (2012)What do robust equity portfol…Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk (2012)Performance Analysis and Opti…Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)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)Is the Fed Too Timid? Monetary Policy in an Uncertain World (2001)DOES MODEL UNCERTAINTY JUSTIFY CAUTION? ROBUST OPTIMAL MONETARY POLICY IN A FORWARD-LOOKING MODEL (2002)Policy Evaluation in Uncertain Economic Environments (2003)Robust monetary policy with competing reference models (2003)Reflections (2014)Utility Theory for Decision Making (1971)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)The equity premium: A puzzle (1985)Model Misspecification and Underdiversification (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)An Analytic Derivation of the Efficient Portfolio Frontier (1972)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)The Properties of Equally Weighted Risk Contribution Portfolios (2010)The role of multiplier bounds in efficiency analysis with application to Kansas farming (1990)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Blockchain technology for enhancing swift-trust, collaboration and resilience within a humanitarian supply chain setting (2020)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Contract enforceability and economic institutions in early trade: The Maghribi Traders' Coalition (1993)A Theory of Conformity (1994)Group lending, repayment incentives and social collateral (1995)Organizational Learning from Performance Feedback (2003)Over-the-Counter Markets (2004)1 Moving Beyond Schumpeter: Management Research on the Determinants of Technological Innovation (2008)Portfolio Resampling: Review and Critique (2002)Robust multiobjective optimization & applications in portfolio optimization (2013)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)
this work references cited by second hop

References

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2020A Course in Microeconomic Theory1,592 cited
  • 1989Annals of operations research1,324 cited
  • 1990A Course in Microeconomic Theory1,324 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2008Efficient Asset Management215 cited
  • 2001Pitfalls of a Minimax Approach to Model Uncertainty111 cited
  • 2005Introduction to Modern Portfolio optimization with NUOPT and S-PLUS76 cited
  • 2002Portfolio Construction and Risk Budgeting76 cited

Cited by

  • 2012Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk57 cited
  • 2021Robust optimization approaches for portfolio selection: a comparative analysis46 cited
  • 2022Robust portfolio selection problems: a comprehensive review43 cited
  • 2012

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What do robust equity portfolio models really do?
36 cited
  • 2019A Practical Guide to Robust Portfolio Optimization34 cited