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A Practical Guide to Robust Portfolio Optimization
16 references·0 citing·25 second hop
A Practical Guide to Robust Portfolio Optimization (2019)A Practical Guide to Robust Portfolio Opt…Recent advances in robust optimization: An overview (2013)Recent advances in robust opt…Theory and Applications of Robust Optimization (2010)Theory and Applications of Ro…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…The Price of Robustness (2004)The Price of RobustnessRobust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Robust solutions of uncertain linear programs (1999)Robust solutions of uncertain…Robust Convex Optimization (1998)Robust Convex OptimizationThe Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…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…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionAdjustable robust solutions of uncertain linear programs (2004)Stochastic Programming (2010)Introduction to Stochastic Programming (2011)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Coherent Measures of Risk (1999)Distributionally Robust Convex Optimization (2014)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Robust optimization ? methodology and applications (2002)Convex Approximations of Chance Constrained Programs (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)An Engine, Not a Camera (2006)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

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  • 1998Robust Convex Optimization2,606 cited
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  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
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  • 2013Recent advances in robust optimization: An overview

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914 cited
  • 2003Robust Portfolio Selection Problems897 cited
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