Stability advances in robust portfolio optimization under parallelepiped uncertainty
暂无分享,去创建一个
[1] Gerhard-Wilhelm Weber,et al. A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance , 2018, J. Optim. Theory Appl..
[2] Arkadi Nemirovski,et al. Robust solutions of Linear Programming problems contaminated with uncertain data , 2000, Math. Program..
[3] Hamid Shahriari,et al. Robust optimization under correlated polyhedral uncertainty set , 2016, Comput. Ind. Eng..
[4] Tak Kuen Siu,et al. Bayesian Risk Measures for Derivatives via Random Esscher Transform , 2001 .
[5] Masao Fukushima,et al. Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management , 2009, Oper. Res..
[6] Reha H. Tütüncü,et al. Robust Asset Allocation , 2004, Ann. Oper. Res..
[7] Sergey Sarykalin,et al. Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization , 2008 .
[8] R. Tyrrell Rockafellar,et al. Convex Analysis , 1970, Princeton Landmarks in Mathematics and Physics.
[9] Trevor Hastie,et al. The Elements of Statistical Learning , 2001 .
[10] Ayşe Özmen. Robust Optimization of Spline Models and Complex Regulatory Networks , 2016 .
[11] Allen L. Soyster,et al. Technical Note - Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming , 1973, Oper. Res..
[12] Laurent El Ghaoui,et al. Robust Optimization , 2021, ICORES.
[13] Dimitris Bertsimas,et al. Constructing Uncertainty Sets for Robust Linear Optimization , 2009, Oper. Res..
[14] Gerhard-Wilhelm Weber,et al. RMARS: Robustification of multivariate adaptive regression spline under polyhedral uncertainty , 2014, J. Comput. Appl. Math..
[15] Melvyn Sim,et al. The Price of Robustness , 2004, Oper. Res..
[16] Hubertus Th. Jongen,et al. Nonlinear optimization: Characterization of structural stability , 1991, J. Glob. Optim..
[17] S. Nash,et al. Linear and Nonlinear Optimization , 2008 .
[18] Hideki Katagiri,et al. Robust-based interactive portfolio selection problems with an uncertainty set of returns , 2013, Fuzzy Optim. Decis. Mak..
[19] Tak Kuen Siu,et al. Risk and probability measures , 2002 .
[20] Ralf Werner,et al. Consistency of robust portfolio estimators , 2006 .
[21] M. Arulraj,et al. Global Portfolio Optimization for BSE Sensex using the Enhanced Black Litterman Model , 2012 .
[22] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[23] R. Rockafellar. Convex Analysis: (pms-28) , 1970 .
[24] Frank J. Fabozzi,et al. Robust portfolios: contributions from operations research and finance , 2010, Ann. Oper. Res..
[25] Masao Fukushima,et al. Portfolio selection under distributional uncertainty: A relative robust CVaR approach , 2010, Eur. J. Oper. Res..
[26] G. Weber,et al. RCMARS: Robustification of CMARS with different scenarios under polyhedral uncertainty set , 2011 .
[27] Melvyn Sim,et al. Constructing Risk Measures from Uncertainty Sets , 2009, Oper. Res..
[28] Hubertus Th. Jongen,et al. Semi-infinite optimization: Structure and stability of the feasible set , 1990 .
[29] V. S. Kirilyuk,et al. Polyhedral coherent risk measures and investment portfolio optimization , 2008 .
[30] Berç Rustem,et al. Robust Optimization of Currency Portfolios , 2011 .
[31] Anna Grazia Quaranta,et al. Robust optimization of conditional value at risk and portfolio selection , 2008 .
[32] Arkadi Nemirovski,et al. Robust Convex Optimization , 1998, Math. Oper. Res..
[33] F. Knight. The economic nature of the firm: From Risk, Uncertainty, and Profit , 2009 .
[34] Dessislava A. Pachamanova. A robust optimization approach to finance , 2002 .
[35] D. Hunter. Dynamic mean-variance portfolio analysis under model risk , 2009 .