4.6 Review

Robust portfolio optimization: a categorized bibliographic review

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Article Management

Portfolio selection under uncertainty: a new methodology for computing relative-robust solutions

Sandra Cacador et al.

Summary: This paper introduces a new methodology for computing relative-robust portfolios based on minimax regret and demonstrates its effectiveness in empirical research, showing that relative-robust portfolios generally outperform other types of portfolios in most cases.

INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH (2021)

Article Management

Sparse and robust portfolio selection via semi-definite relaxation

Yongjae Lee et al.

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2020)

Article Computer Science, Software Engineering

Distributionally robust optimization with polynomial densities: theory, models and algorithms

Etienne de Klerk et al.

MATHEMATICAL PROGRAMMING (2020)

Article Operations Research & Management Science

Robust mean-variance portfolio through the weighted Lp depth function

Giuseppe Pandolfo et al.

ANNALS OF OPERATIONS RESEARCH (2020)

Article Business, Finance

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Zhilin Kang et al.

QUANTITATIVE FINANCE (2019)

Article Mathematics, Applied

Robust optimization of mixed CVaR STARR ratio using copulas

Anubha Goel et al.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2019)

Article Computer Science, Interdisciplinary Applications

Robust multiobjective portfolio optimization: a set order relations approach

Chen Chen et al.

JOURNAL OF COMBINATORIAL OPTIMIZATION (2019)

Article Operations Research & Management Science

Stability advances in robust portfolio optimization under parallelepiped uncertainty

Guray Kara et al.

CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH (2019)

Article Mathematics, Applied

Closed-Form Optimal Portfolios of Distributionally Robust Mean-CVaR Problems with Unknown Mean and Variance

Jia Liu et al.

APPLIED MATHEMATICS AND OPTIMIZATION (2019)

Article Business, Finance

Asset allocation with multiple analysts' views: a robust approach

I-Chen Lu et al.

JOURNAL OF ASSET MANAGEMENT (2019)

Article Economics

A unified model for regularized and robust portfolio optimization

Lukas Plachel

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2019)

Article Operations Research & Management Science

Robust mean variance optimization problem under Renyi divergence information

Ke-wei Ding et al.

OPTIMIZATION (2018)

Article Management

Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

Jia Liu et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2018)

Article Management

Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances

Somayyeh Lotfi et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2018)

Article Computer Science, Artificial Intelligence

Robust multiobjective portfolio with higher moments

Chen Chen et al.

EXPERT SYSTEMS WITH APPLICATIONS (2018)

Article Business, Finance

Relative Robust Portfolio Optimization with benchmark regret

Goncalo Simoes et al.

QUANTITATIVE FINANCE (2018)

Article Operations Research & Management Science

Robust risk budgeting

Michalis Kapsos et al.

ANNALS OF OPERATIONS RESEARCH (2018)

Article Operations Research & Management Science

On robust portfolio and na⟨ve diversification: mixing ambiguous and unambiguous assets

A. Burak Pac et al.

ANNALS OF OPERATIONS RESEARCH (2018)

Article Operations Research & Management Science

Portfolio optimization with pw-robustness

Virginie Gabrel et al.

EURO JOURNAL ON COMPUTATIONAL OPTIMIZATION (2018)

Article Operations Research & Management Science

Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse

Takashi Hasuike et al.

ANNALS OF OPERATIONS RESEARCH (2018)

Article Operations Research & Management Science

Recent advancements in robust optimization for investment management

Jang Ho Kim et al.

ANNALS OF OPERATIONS RESEARCH (2018)

Article Operations Research & Management Science

Robust equity portfolio performance

Jang Ho Kim et al.

ANNALS OF OPERATIONS RESEARCH (2018)

Article Operations Research & Management Science

Omega-CVaR portfolio optimization and its worst case analysis

Amita Sharma et al.

OR SPECTRUM (2017)

Article Management

Robust two-stage stochastic linear optimization with risk aversion

Aifan Ling et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2017)

Article Management

Robust portfolio selection problem under temperature uncertainty

Nalan Gulpinar et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2017)

Article Management

Robust multiobjective portfolio optimization: A minimax regret approach

Panos Xidonas et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2017)

Article Operations Research & Management Science

Robust Optimization of Credit Portfolios

Lijun Bo et al.

MATHEMATICS OF OPERATIONS RESEARCH (2017)

Article Operations Research & Management Science

Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim

Ming-hui Wang et al.

OPTIMIZATION (2017)

Article Business, Finance

ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION

F. Cong et al.

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (2017)

Article Business, Finance

Robust multivairiate extreme value at risk allocation

A. Belhajjam et al.

FINANCE RESEARCH LETTERS (2017)

Article Social Sciences, Mathematical Methods

Log-robust portfolio management with parameter ambiguity

Ban Kawas et al.

COMPUTATIONAL MANAGEMENT SCIENCE (2017)

Article Business, Finance

Dynamic robust portfolio selection with copulas

Yingwei Han et al.

FINANCE RESEARCH LETTERS (2017)

Article Management

An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets

Betina Fernandes et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)

Article Management

Robust Growth-Optimal Portfolios

Napat Rujeerapaiboon et al.

MANAGEMENT SCIENCE (2016)

Article Operations Research & Management Science

On robust mean-variance portfolios

Mustafa C. Pinar

OPTIMIZATION (2016)

Article Operations Research & Management Science

A robust asset-liability management framework for investment products with guarantees

Nalan Gulpinar et al.

OR SPECTRUM (2016)

Article Business, Finance

Portfolio optimization using asymmetry robust mean absolute deviation model

Ping Li et al.

FINANCE RESEARCH LETTERS (2016)

Article Management

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Bertrand Maillet et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2015)

Article Management

A practical guide to robust optimization

Bram L. Gorissen et al.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2015)

Article Management

Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals

Xuan Vinh Doan et al.

OPERATIONS RESEARCH (2015)

Article Operations Research & Management Science

Developing a multi-period robust optimization model considering American style options

Saeed Marzban et al.

ANNALS OF OPERATIONS RESEARCH (2015)

Article Operations Research & Management Science

Robust worst-case optimal investment

Sascha Desmettre et al.

OR SPECTRUM (2015)

Article Business, Finance

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

Shushang Zhu et al.

JOURNAL OF COMPUTATIONAL FINANCE (2015)

Article Business, Finance

Focusing on the worst state for robust investing

Woo Chang Kim et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2015)

Article Computer Science, Interdisciplinary Applications

Robust investment decisions under supply disruption in petroleum markets

Nalan Guelpinar et al.

COMPUTERS & OPERATIONS RESEARCH (2014)

Article Management

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Minmax robustness for multi-objective optimization problems

Matthias Ehrgott et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Robust portfolios that do not tilt factor exposure

Woo Chang Kim et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Twenty years of linear programming based portfolio optimization

Renata Mansini et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Robustness of optimal portfolios under risk and stochastic dominance constraints

Jitka Dupacova et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Robust multiobjective optimization & applications in portfolio optimization

Joerg Fliege et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Robust portfolio optimization with copulas

Iakovos Kakouris et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Robust asset allocation strategies: relaxed versus classical robustness

Raffaella Recchia et al.

IMA JOURNAL OF MANAGEMENT MATHEMATICS (2014)

Article Operations Research & Management Science

Recent Developments in Robust Portfolios with a Worst-Case Approach

Jang Ho Kim et al.

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS (2014)

Article Operations Research & Management Science

Log-robust portfolio management after transaction costs

Yuntaek Pae et al.

OR SPECTRUM (2014)

Article Business, Finance

Robust minimum variance portfolio with L-infinity constraints

Xin Xing et al.

JOURNAL OF BANKING & FINANCE (2014)

Article Business, Finance

Deciphering robust portfolios

Woo Chang Kim et al.

JOURNAL OF BANKING & FINANCE (2014)

Article Business, Finance

Recent Trends in Equity Portfolio Construction Analytics

Dessislava A. Pachamanova et al.

JOURNAL OF PORTFOLIO MANAGEMENT (2014)

Article Business, Finance

Robust portfolio choice with stochastic interest rates

Christian Riis Flor et al.

ANNALS OF FINANCE (2014)

Article Operations Research & Management Science

What do robust equity portfolio models really do?

Woo Chang Kim et al.

ANNALS OF OPERATIONS RESEARCH (2013)

Article Operations Research & Management Science

Robust portfolio asset allocation and risk measures

Maria Grazia Scutella et al.

ANNALS OF OPERATIONS RESEARCH (2013)

Article Management

Robust Portfolio Control with Stochastic Factor Dynamics

Paul Glasserman et al.

OPERATIONS RESEARCH (2013)

Article Business, Finance

Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

Geng Deng et al.

JOURNAL OF ASSET MANAGEMENT (2013)

Article Economics

Robust goal programming for multi-objective portfolio selection problem

Alireza Ghahtarani et al.

ECONOMIC MODELLING (2013)

Article Business, Finance

Composition of robust equity portfolios

Jang Ho Kim et al.

FINANCE RESEARCH LETTERS (2013)

Article Business, Finance

A robust optimization approach to asset-liability management under time-varying investment opportunities

Nalan Guelpinar et al.

JOURNAL OF BANKING & FINANCE (2013)

Article Operations Research & Management Science

Robustness in stochastic programs with risk constraints

Jitka Dupacova et al.

ANNALS OF OPERATIONS RESEARCH (2012)

Article Computer Science, Interdisciplinary Applications

Robust hedging strategies

Raquel J. Fonseca et al.

COMPUTERS & OPERATIONS RESEARCH (2012)

Article Computer Science, Interdisciplinary Applications

Robust portfolio selection for index tracking

Chen Chen et al.

COMPUTERS & OPERATIONS RESEARCH (2012)

Article Computer Science, Interdisciplinary Applications

A robust mean absolute deviation model for portfolio optimization

Yongma Moon et al.

COMPUTERS & OPERATIONS RESEARCH (2011)

Article Management

Short sales in Log-robust portfolio management

Ban Kawas et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2011)

Article Management

Robust optimization and portfolio selection: The cost of robustness

Christine Gregory et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2011)

Article Management

Robust portfolio optimization with derivative insurance guarantees

Steve Zymler et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2011)

Article Computer Science, Software Engineering

A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set

Zhaosong Lu

MATHEMATICAL PROGRAMMING (2011)

Article Computer Science, Software Engineering

Robust portfolio selection based on a joint ellipsoidal uncertainty set

Zhaosong Lu

OPTIMIZATION METHODS & SOFTWARE (2011)

Article Operations Research & Management Science

A log-robust optimization approach to portfolio management

Ban Kawas et al.

OR SPECTRUM (2011)

Article Business, Finance

Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

Martin Hellmich et al.

QUANTITATIVE FINANCE (2011)

Article Mathematics, Applied

Theory and Applications of Robust Optimization

Dimitris Bertsimas et al.

SIAM REVIEW (2011)

Article Business, Finance

Robust portfolio allocation under discrete asset choice constraints

Nalan Guelpinar et al.

JOURNAL OF ASSET MANAGEMENT (2011)

Article Business, Finance

Investigating the effectiveness of robust portfolio optimization techniques

Gianfranco Guastaroba et al.

JOURNAL OF ASSET MANAGEMENT (2011)

Article Operations Research & Management Science

Robust portfolio asset allocation and risk measures

Maria Grazia Scutella et al.

4OR-A QUARTERLY JOURNAL OF OPERATIONS RESEARCH (2010)

Article Operations Research & Management Science

Robust portfolios: contributions from operations research and finance

Frank J. Fabozzi et al.

ANNALS OF OPERATIONS RESEARCH (2010)

Article Management

Portfolio selection under distributional uncertainty: A relative robust CVaR approach

Dashan Huang et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2010)

Article Business, Finance

TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

Karthik Natarajan et al.

MATHEMATICAL FINANCE (2010)

Article Business, Finance

A robust optimization approach to pension fund management

Garud Iyengar et al.

JOURNAL OF ASSET MANAGEMENT (2010)

Article Mathematics, Applied

Robust portfolio selection based on asymmetric measures of variability of stock returns

Wei Chen et al.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS (2009)

Article Management

Constructing Risk Measures from Uncertainty Sets

Karthik Natarajan et al.

OPERATIONS RESEARCH (2009)

Article Management

Portfolio Selection with Robust Estimation

Victor DeMiguel et al.

OPERATIONS RESEARCH (2009)

Article Operations Research & Management Science

Robustness properties of mean-variance portfolios

Katrin Schoettle et al.

OPTIMIZATION (2009)

Article Business, Finance

Robust portfolio selection under downside risk measures

Shushang Zhu et al.

QUANTITATIVE FINANCE (2009)

Article Computer Science, Interdisciplinary Applications

Robust multiperiod portfolio management in the presence of transaction costs

Dimitris Bertsimas et al.

COMPUTERS & OPERATIONS RESEARCH (2008)

Article Management

Robust portfolio selection based on a multi-stage scenario tree

Ruijun Shen et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2008)

Article Economics

Portfolio selection with uncertain exit time: A robust CVaR approach

Dashan Huang et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2008)

Article Business, Finance

Robust optimization of conditional value at risk and portfolio selection

Anna Grazia Quaranta et al.

JOURNAL OF BANKING & FINANCE (2008)

Article Operations Research & Management Science

Robust portfolio selection with uncertain exit time using worst-case VaR strategy

Dashan Huang et al.

OPERATIONS RESEARCH LETTERS (2007)

Article Business, Finance

Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy

Tim van Hest et al.

JOURNAL OF ASSET MANAGEMENT (2007)

Article Operations Research & Management Science

Robust scenario optimization based on downside-risk measure for multi-period portfolio selection

Mustafa C. Pinar

OR SPECTRUM (2007)

Article Business, Finance

Can robust portfolio optimisation help to build better portfolios?

Bernd Scherer

JOURNAL OF ASSET MANAGEMENT (2007)

Article Business, Finance

Robust portfolio optimization - Recent trends and future directions.

Frank J. Fabozzi et al.

JOURNAL OF PORTFOLIO MANAGEMENT (2007)

Article Management

Robust portfolio planning in the presence of market anomalies

Cemal Berk Oguzsoy et al.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2007)

Article Mathematics, Applied

Ambiguous risk measures and optimal robust portfolios

Giuseppe C. Calafiore

SIAM JOURNAL ON OPTIMIZATION (2007)

Article Business, Finance

Portfolio selection with parameter and model uncertainty: A multi-prior approach

Lorenzo Garlappi et al.

REVIEW OF FINANCIAL STUDIES (2007)

Article Management

Robust mean-covariance solutions for stochastic optimization

Ioana Popescu

OPERATIONS RESEARCH (2007)

Article Management

Robust one-period option hedging

Frank Lutgens et al.

OPERATIONS RESEARCH (2006)

Article Business, Finance

Optimisation and quantitative investment management

Arlen Khodadadi et al.

JOURNAL OF ASSET MANAGEMENT (2006)

Article Business, Finance

Incorporating estimation errors into portfolio selection: Robust portfolio construction

Sebastian Ceria et al.

JOURNAL OF ASSET MANAGEMENT (2006)

Article Business, Finance

Handling parameter uncertainty in portfolio risk minimization - The robust optimization approach

Dessislava Pachamanova

JOURNAL OF PORTFOLIO MANAGEMENT (2006)

Article Operations Research & Management Science

Robust profit opportunities in risky financial portfolios

MÇ Pinar et al.

OPERATIONS RESEARCH LETTERS (2005)

Article Business, Finance

Robust portfolio rules and asset pricing

PJ Maenhout

REVIEW OF FINANCIAL STUDIES (2004)

Article Operations Research & Management Science

Robust asset allocation

RH Tütüncü et al.

ANNALS OF OPERATIONS RESEARCH (2004)

Article Management

The price of robustness

D Bertsimas et al.

OPERATIONS RESEARCH (2004)

Article Operations Research & Management Science

Robust portfolio selection problems

D Goldfarb et al.

MATHEMATICS OF OPERATIONS RESEARCH (2003)

Article Business, Finance

Conditional value-at-risk for general loss distributions

RT Rockafellar et al.

JOURNAL OF BANKING & FINANCE (2002)

Article Economics

Robust portfolio selection using linear-matrix inequalities

OLV Costa et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2002)

Article Computer Science, Software Engineering

Robust optimization - methodology and applications

A Ben-Tal et al.

MATHEMATICAL PROGRAMMING (2002)

Article Statistics & Probability

Robust portfolio optimization

GJ Lauprete et al.

METRIKA (2002)