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Incorporating estimation errors into portfolio selection: Robust portfolio construction
11 references·16 citing·39 second hop
Incorporating estimation errors into portfolio selection: Robust portfolio construction (2006)Incorporating estimation errors into port…A step-by-step guide to the Black-Litterman model (2007)A step-by-step guide to the B…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Portfolio Selection with Para…Robust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. (2001)Efficient Asset Management: A…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Computing efficient frontiers using estimated parameters (1993)Computing efficient frontiers…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…Asset Allocation (1991)Asset AllocationThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Putting Markowitz theory to work (1981)Putting Markowitz theory to w…Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…Mean–variance portfolio optimization with deep learning based-forecasts for cointegrated stocks (2022)Mean–variance portfolio optim…Robust portfolio optimization: a categorized bibliographic review (2020)Robust portfolio optimization…Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (2018)Robust VaR and CVaR optimizat…Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (2018)Data-driven robust mean-CVaR …Robust Consumption and Portfolio Policies When Asset Prices Can Jump (2017)Robust Consumption and Portfo…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Robust Multistage Decision Making (2015)Robust Multistage Decision Ma…Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS (2014)Asset Liability Modelling and…Robust multiobjective optimization & applications in portfolio optimization (2013)Robust multiobjective optimiz…Recent Developments in Robust Portfolios with a Worst-Case Approach (2013)Recent Developments in Robust…A robust optimization approach to asset-liability management under time-varying investment opportunities (2013)A robust optimization approac…Robust optimization and portfolio selection: The cost of robustness (2011)Robust optimization and portf…Robust portfolio optimization with derivative insurance guarantees (2010)Robust portfolio optimization…Robust Portfolio Optimization (2007)Robust Portfolio OptimizationHistogram models for robust portfolio optimization (2007)Histogram models for robust p…For better performance (1988)When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)Systemic Risk and Hedge Funds (2005)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)Modern Portfolio Theory and Investment Analysis. (1982)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)Robust portfolios: contributions from operations research and finance (2009)Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies (2015)Portfolio Selection: Efficient Diversification of Investments. (1962)An equilibrium model of the international capital market (1974)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Comparing asset pricing models: an investment perspective (2000)The Legacy of Modern Portfolio Theory (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)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)Risk, Uncertainty and Profit (1921)Risk, Ambiguity, and the Savage Axioms (1961)Optimum consumption and portfolio rules in a continuous-time model (1971)Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Liquidity and valuation in an uncertain world☆ (2010)Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Dynamic Portfolio Selection by Augmenting the Asset Space (2006)Portfolio Choice Problems (2010)Optimal Portfolio Choice with Parameter Uncertainty (2007)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)An Engine, Not a Camera (2006)
this work references cited by second hop

References

  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1991Asset Allocation496 cited
  • 1981Putting Markowitz theory to work322 cited
  • 2001Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.293 cited
  • 1993Computing efficient frontiers using estimated parameters273 cited
  • 2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach264 cited
  • 2007A step-by-step guide to the Black-Litterman model193 cited

Cited by

  • 2013Robust multiobjective optimization & applications in portfolio optimization180 cited
  • 2007Robust Portfolio Optimization175 cited
  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
  • 2011Robust optimization and portfolio selection: The cost of robustness

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

97 cited
  • 2015Robust Multistage Decision Making91 cited
  • 2010Robust portfolio optimization with derivative insurance guarantees84 cited
  • 2013Recent Developments in Robust Portfolios with a Worst-Case Approach80 cited
  • 2020Robust portfolio optimization: a categorized bibliographic review80 cited
  • 2022Mean–variance portfolio optimization with deep learning based-forecasts for cointegrated stocks73 cited
  • 2018Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances59 cited
  • 2018Data-driven robust mean-CVaR portfolio selection under distribution ambiguity53 cited
  • 2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump52 cited
  • 2007Histogram models for robust portfolio optimization52 cited
  • 2014Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS49 cited
  • 2013A robust optimization approach to asset-liability management under time-varying investment opportunities45 cited
  • 2022Robust portfolio selection problems: a comprehensive review43 cited