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Robust portfolio selection problems: a comprehensive review
16 references·0 citing·31 second hop
Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection problems: a co…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Prospect Theory: An Analysis of Decision Under Risk (2013)Prospect Theory: An Analysis …Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Benchmarks as Limits to Arbit…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Price of Robustness (2004)The Price of RobustnessRobust Portfolio Selection Problems (2003)Robust Portfolio Selection Pr…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Coherent Measures of Risk (1999)Coherent Measures of RiskRobust Convex Optimization (1998)Robust Convex OptimizationRobust Discrete Optimization and Its Applications (1997)Robust Discrete Optimization …Robust Optimization of Large-Scale Systems (1995)Robust Optimization of Large-…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Studies in Mathematical Theory of Inventory and Production (1959)Recent advances in robust optimization: An overview (2013)Distributionally Robust Convex Optimization (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Decisions with Multiple Objectives (1993)Optimization under uncertainty: state-of-the-art and opportunities (2003)Robust optimization – A comprehensive survey (2007)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Risk Aversion in the Small and in the Large (1964)Essays in the Theory of Risk-Bearing. (1972)The Role of Explanations and Need for Uniqueness in Consumer Decision Making: Unconventional Choices Based on Reasons (2000)Online Investors: Do the Slow Die First? (2002)A Survey of Fake News (2020)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Robust solutions of uncertain linear programs (1999)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2004The Price of Robustness4,620 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2013Prospect Theory: An Analysis of Decision Under Risk3,087 cited
  • 1998Robust Convex Optimization2,606 cited
  • 1995Robust Optimization of Large-Scale Systems1,959 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1997Robust Discrete Optimization and Its Applications1,172 cited
  • 2003Robust Portfolio Selection Problems897 cited

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2010
Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly
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