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A Practical Guide to Robust Portfolio Optimization · Study

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ArticleA Practical Guide to Robust Portfolio Optimization

Chenyang Yin2019

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Articlegreen2019

A Practical Guide to Robust Portfolio Optimization

Chenyang Yin · Romain Perchet · François Soupé

34 citations·0/0 files stored·Quantitative Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1959Portfolio Selection: Efficient Diversification of Investments 2004The Price of Robustness 1952Portfolio Selection 1962Portfolio Selection: Efficient Diversification of Investments.1998Robust Convex Optimization 2010Theory and Applications of Robust Optimization 1999Robust solutions of uncertain linear programs 2000Robust solutions of Linear Programming problems contaminated with uncertain data

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Year2019

Typearticle

Published2019-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations34

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1080/14697688.2020.1849780

openalex_workW3127037042

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