Robust portfolio selection using linear-matrix inequalities
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References listed on IDEAS
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- Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
- de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016. "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, vol. 16(C), pages 93-102.
- Selim Mankaï & Khaled Guesmi, 2015.
"Robust Portfolio Protection: A Scenarios-based Approach,"
Bankers, Markets & Investors,
ESKA Publishing, issue 138, pages 30-44, September.
- Selim Mankaï & Khaled Guesmi, 2014. "Robust Portfolio Protection: A Scenarios-Based Approach," EconomiX Working Papers 2014-35, University of Paris Nanterre, EconomiX.
- Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Discussion Paper 2002-114, Tilburg University, Center for Economic Research.
- Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
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- Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-17, November.
- Ling, Aifan & Sun, Jie & Yang, Xiaoguang, 2014. "Robust tracking error portfolio selection with worst-case downside risk measures," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 178-207.
- Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
- Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2015. "Robust solutions to multi-objective linear programs with uncertain data," European Journal of Operational Research, Elsevier, vol. 242(3), pages 730-743.
- Selim Mankaï, 2014. "Data-Driven Robust Optimization with Application to Portfolio Management," Working Papers 2014-104, Department of Research, Ipag Business School.
- Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org, revised Mar 2015.
- Zhu, Shushang & Fan, Minjie & Li, Duan, 2014. "Portfolio management with robustness in both prediction and decision: A mixture model based learning approach," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 1-25.
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- Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
- Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
- Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jan 2015.
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