Robust portfolio optimization: a conic programming approach
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References listed on IDEAS
- R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
- Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
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- António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF, Faculty of Economics, University of Coimbra.
- Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
- Antonio Santos, 2016. "Static and dynamic portfolio allocation with nonstandard utility functions," EcoMod2016 9375, EcoMod.
- Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
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KeywordsMean variance optimization; Robust optimization; Conic programming;
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