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Data-Driven Robust Optimization with Application to Portfolio Management

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  • Selim Mankaï

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  • Selim Mankaï, 2014. "Data-Driven Robust Optimization with Application to Portfolio Management," Working Papers 2014-104, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-104
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    References listed on IDEAS

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    1. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
    2. R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
    3. Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
    4. Victor DeMiguel & Francisco J. Nogales, 2009. "Portfolio Selection with Robust Estimation," Operations Research, INFORMS, vol. 57(3), pages 560-577, June.
    5. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. V Gabrel & C Murat, 2010. "Robustness and duality in linear programming," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1288-1296, August.
    8. Bertsimas, Dimitris & Doan, Xuan Vinh, 2010. "Robust and data-driven approaches to call centers," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1072-1085, December.
    9. ,, 2000. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 16(2), pages 287-299, April.
    10. Shushang Zhu & Masao Fukushima, 2009. "Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management," Operations Research, INFORMS, vol. 57(5), pages 1155-1168, October.
    11. Gregory, Christine & Darby-Dowman, Ken & Mitra, Gautam, 2011. "Robust optimization and portfolio selection: The cost of robustness," European Journal of Operational Research, Elsevier, vol. 212(2), pages 417-428, July.
    12. Quaranta, Anna Grazia & Zaffaroni, Alberto, 2008. "Robust optimization of conditional value at risk and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2046-2056, October.
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