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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. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 279-292, September.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
    4. 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.
    5. 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.
    6. 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.
    7. 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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    Cited by:

    1. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-509 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-415 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-451 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-452 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    8. repec:ipg:wpaper:2014-394 is not listed on IDEAS

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