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A Review on Ambiguity in Stochastic Portfolio Optimization
16 references·0 citing·26 second hop
A Review on Ambiguity in Stochastic Portfolio Optimization (2017)A Review on Ambiguity in Stochastic Portf…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Linear Programming Under Uncertainty (2004)Linear Programming Under Unce…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Introduction to Copulas (1999)An Introduction to CopulasMean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Chance-Constrained Programming (1959)Chance-Constrained ProgrammingPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Portfolio SelectionCorrelation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Recent advances in robust optimization: An overview (2013)Distributionally Robust Convex Optimization (2014)Conditional value-at-risk for general loss distributions (2002)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Optimization under uncertainty: state-of-the-art and opportunities (2003)Stochastic Programming (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1959Chance-Constrained Programming2,748 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 2004Linear Programming Under Uncertainty1,173 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion

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