Robust portfolio optimization with derivative insurance guarantees
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References listed on IDEAS
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- Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
- Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
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- Ben-Tal, A. & Brekelmans, Ruud & den Hertog, Dick & Vial, J.P., 2015. "Globalized Robust Optimization for Nonlinear Uncertain Inequalities," Discussion Paper 2015-031, Tilburg University, Center for Economic Research.
More about this item
KeywordsRobust optimization Portfolio optimization Portfolio insurance Second-order cone programming;
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