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Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix
11 references·0 citing·44 second hop
Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix (2017)Robust portfolio optimization for electri…Recent Developments in Robust Portfolios with a Worst-Case Approach (2013)Recent Developments in Robust…Theory and Applications of Robust Optimization (2010)Theory and Applications of Ro…Robust Portfolio Optimization (2007)Robust Portfolio OptimizationRobust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…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 portfolio selection using linear-matrix inequalities (2002)Robust portfolio selection us…Robust min–max portfolio strategies for rival forecast and risk scenarios (2000)Robust min–max portfolio stra…Asset Allocation (1991)Asset AllocationPortfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…International Portfolio Choice and Corporation Finance: A Synthesis (1983)When Will Mean-Variance Efficient Portfolios be Well Diversified? (1992)Comparing asset pricing models: an investment perspective (2000)The Legacy of Modern Portfolio Theory (2002)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)PORTFOLIO SELECTION* (1952)Equilibrium in a Capital Asset Market (1966)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Optimization Methods in Finance (2006)Portfolio Selection With Robust Estimation (2007)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)The Econometrics of Financial Markets (1997)Portfolio selection with uncertain exit time: A robust CVaR approach (2007)The Econometrics of Financial Markets (2012)Robust solutions to multi-objective linear programs with uncertain data (2014)Coherent Measures of Risk (1999)Introduction to Stochastic Programming (2011)Recent advances in robust optimization: An overview (2013)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Distributionally Robust Convex Optimization (2014)Forecasting Economic Time Series (1977)Forecasting Economic Time Series (2000)A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall (2002)Stochastic Programming (2010)Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS (2014)Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs (2015)Portfolio Selection (1952)Prediction-based portfolio optimization model using neural networks (2009)Pareto Efficiency in Robust Optimization (2013)Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances (2021)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)Robust portfolios: contributions from operations research and finance (2009)RCMARS: Robustification of CMARS with different scenarios under polyhedral uncertainty set (2011)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2010Theory and Applications of Robust Optimization2,515 cited
  • 2003Robust Portfolio Selection Problems897 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 1991Asset Allocation496 cited
  • 2007Robust Portfolio Optimization and Management402 cited
  • 2004Robust Asset Allocation388 cited
  • 2007Robust Portfolio Optimization175 cited
  • 2002Robust portfolio selection using linear-matrix inequalities100 cited
  • 2000Robust min–max portfolio strategies for rival forecast and risk scenarios82 cited
  • 2013Recent Developments in Robust Portfolios with a Worst-Case Approach80 cited

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