Robust min-max portfolio strategies for rival forecast and risk scenarios
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 24 (2000)
Issue (Month): 11-12 (October)
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- Howe, M. A. & Rustem, B. & Selby, M. J. P., 1996. "Multi-period minimax hedging strategies," European Journal of Operational Research, Elsevier, Elsevier, vol. 93(1), pages 185-204, August.
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- Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Society for Computational Economics, vol. 7(4), pages 245-75.
- Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(6), pages 1065-1092, June.
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- Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Discussion Paper, Tilburg University, Center for Economic Research 2002-114, Tilburg University, Center for Economic Research.
- Zymler, Steve & Rustem, BerÃ§ & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, Elsevier, vol. 210(2), pages 410-424, April.
- Kai Ye & Panos Parpas & Berç Rustem, 2012. "Robust portfolio optimization: a conic programming approach," Computational Optimization and Applications, Springer, vol. 52(2), pages 463-481, June.
- DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
- Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
- Victor de Miguel & Alberto MartÃn Utrera & Francisco J. Nogales, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws132119, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa.
- Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(6), pages 889-909, June.
- Kakouris, Iakovos & Rustem, BerÃ§, 2014. "Robust portfolio optimization with copulas," European Journal of Operational Research, Elsevier, Elsevier, vol. 235(1), pages 28-37.
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