SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stability advances in robust portfolio optimization under parallelepiped uncertainty
16 references·12 citing·24 second hop
Stability advances in robust portfolio optimization under parallelepiped uncertainty (2017)Stability advances in robust portfolio op…A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)A Stochastic Maximum Principl…Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)Worst-Case Conditional Value-…Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…Robust Optimization (2009)Robust OptimizationConstructing Uncertainty Sets for Robust Linear Optimization (2009)Constructing Uncertainty Sets…Constructing Risk Measures from Uncertainty Sets (2009)Constructing Risk Measures fr…Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Value-at-Risk vs. Conditional…Robust optimization of conditional value at risk and portfolio selection (2008)Robust optimization of condit…The Price of Robustness (2004)The Price of RobustnessRobust Asset Allocation (2004)Robust Asset AllocationRobust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Robust Convex Optimization (1998)Robust Convex OptimizationGlobal Portfolio Optimization (1992)Global Portfolio OptimizationPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitRobust optimization for energy-aware cryptocurrency farm location with renewable energy (2023)Robust optimization for energ…Integrated optimization of inventory, replenishment, and vehicle routing for a sustainable supply chain utilizing a novel hybrid algorithm with carbon emission regulation (2023)Integrated optimization of in…The efficient and stable planning for interrupted supply chain with dual‐sourcing strategy: a robust optimization approach considering decision maker's risk attitude (2022)The efficient and stable plan…Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…Resource-constrained time–cost-quality-energy-environment tradeoff problem by considering blockchain technology, risk and robustness: a case study of healthcare project (2022)Resource-constrained time–cos…A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing (2022)A new nonlinear stochastic vo…Robust optimization of risk-aware, resilient and sustainable closed-loop supply chain network design with Lagrange relaxation and fix-and-optimize (2021)Robust optimization of risk-a…Regulation adaptive strategy and bank efficiency: A network slacks-based measure with shared resources (2021)Regulation adaptive strategy …Robust portfolio optimization: a categorized bibliographic review (2020)Robust portfolio optimization…Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework (2020)Multiobjective Fuzzy Portfoli…Complex network construction of Internet finance risk (2019)Complex network construction …An integrated AHP‐TOPSIS framework for foreign direct investment in Turkey (2019)An integrated AHP‐TOPSIS fram…Robust solutions of uncertain linear programs (1999)Robust optimization ? methodology and applications (2002)Convex Approximations of Chance Constrained Programs (2006)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Robust risk measurement and model risk (2013)Twenty years of linear programming based portfolio optimization (2013)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)Theory and Applications of Robust Optimization (2010)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Selection of supply portfolio under disruption risks (2010)Selection of resilient supply portfolio under disruption risks (2012)Supply chain resilience for single and multiple sourcing in the presence of disruption risks (2017)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)Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Distributionally Robust Convex Optimization (2014)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2004The Price of Robustness4,620 cited
  • 2009Robust Optimization3,008 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management510 cited
  • 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization389 cited
  • 2004Robust Asset Allocation388 cited
  • 2009Constructing Uncertainty Sets for Robust Linear Optimization343 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited
  • 2009Constructing Risk Measures from Uncertainty Sets165 cited
  • 2017A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance164 cited
  • 2008Robust optimization of conditional value at risk and portfolio selection

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

141 cited

Cited by

  • 2021Robust optimization of risk-aware, resilient and sustainable closed-loop supply chain network design with Lagrange relaxation and fix-and-optimize108 cited
  • 2020Robust portfolio optimization: a categorized bibliographic review80 cited
  • 2020Multiobjective Fuzzy Portfolio Performance Evaluation Using Data Envelopment Analysis Under Credibilistic Framework58 cited
  • 2022Resource-constrained time–cost-quality-energy-environment tradeoff problem by considering blockchain technology, risk and robustness: a case study of healthcare project56 cited
  • 2019Complex network construction of Internet finance risk50 cited
  • 2023Integrated optimization of inventory, replenishment, and vehicle routing for a sustainable supply chain utilizing a novel hybrid algorithm with carbon emission regulation48 cited
  • 2019An integrated AHP‐TOPSIS framework for foreign direct investment in Turkey45 cited
  • 2022Robust portfolio selection problems: a comprehensive review43 cited
  • 2021Regulation adaptive strategy and bank efficiency: A network slacks-based measure with shared resources42 cited
  • 2022The efficient and stable planning for interrupted supply chain with dual‐sourcing strategy: a robust optimization approach considering decision maker's risk attitude41 cited
  • 2023Robust optimization for energy-aware cryptocurrency farm location with renewable energy37 cited
  • 2022A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing33 cited