Open Access
| Issue |
RAIRO-Oper. Res.
Volume 55, Number 5, September-October 2021
|
|
|---|---|---|
| Page(s) | 2941 - 2961 | |
| DOI | https://doi.org/10.1051/ro/2021129 | |
| Published online | 13 October 2021 | |
- M. Asadujjaman and K. Zaman, Robustness-based portfolio optimization under epistemic uncertainty. J. Ind. Eng. Int. 15 (2019) 207–219. [Google Scholar]
- A. Ben-Tal and A. Nemirovski, Robust solutions of uncertain linear programs. Oper. Res. Lett. 25 (1999) 1–13. [CrossRef] [Google Scholar]
- A. Ben-Tal and A. Nemirovski, Robust solutions of linear programming problems contaminated with uncertain data. Math. Program. 88 (2000) 411–424. [Google Scholar]
- A. Ben-Tal, L. El Ghaoui and A. Nemirovski, Robust optimization (Vol 28) Princeton University Press (2009). [Google Scholar]
- D. Bertsimas, D.B. Brown, and C. Caramanis, Theory and applications of robust optimization. SIAM Rev 53 (2011) 464–501. [Google Scholar]
- Z. Dai and F. Wen, Robust CVaR-based portfolio optimization under a genal affine data perturbation uncertainty set. J. Comput. Anal. Appl. 16 (2014) 93–103. [Google Scholar]
- L. El Ghaoui and H. Lebret, Robust solutions to least-squares problems with uncertain data. SIAM J. Matrix Anal. Appl. 18 (1997) 1035–1064. [Google Scholar]
- L. El Ghaoui, F. Oustry and H. Lebret, Robust solutions to uncertain semidefinite programs. SIAM J. Optim. 9 (1998) 33–52. [Google Scholar]
- J. Estrada, Systematic risk in emerging markets: the D-CAPM. Emerg. Mark. Rev. 3 (2002) 365–379. [Google Scholar]
- J. Estrada, Mean-semivariance behavior: downside risk and capital asset pricing. Int. Rev. Econ. Finance 16 (2007) 169–185. [Google Scholar]
- F.J. Fabozzi, D. Huang and G. Zhou, Robust portfolios: contributions from operations research and finance. Ann. Oper. Res. 176 (2010) 191–220. [Google Scholar]
- J. Fliege and R. Werner, Robust multiobjective optimization & applications in portfolio optimization. Eur. J. Oper. Res. 234 (2014) 422–433. [Google Scholar]
- D. Goldfarb and G. Iyengar, Robust portfolio selection problems. Math. Oper. Res. 28 (2003) 1–38. [CrossRef] [MathSciNet] [Google Scholar]
- J.H. Kim, W.C. Kim, D.G. Kwon and F.J. Fabozzi, Robust equity portfolio performance. Ann. Oper. Res. 2662018 (2018) 293–312. [Google Scholar]
- Z. Lu, Robust portfolio selection based on a joint ellipsoidal uncertainty set. Optim. Methods & Softw. 26 (2011) 89–104. [Google Scholar]
- Z. Lu, K. Deb and A. Sinha, Uncertainty handling in bilevel optimization for robust and reliable solutions. Int. J. Uncertain. Fuzziness Knowlege-Based Syst. 26 (2018) 1–24. [Google Scholar]
- H. Markowitz, Portfolio selection. J. Finance 7 (1952) 77–91. [Google Scholar]
- H. Markowitz, Portfolio selection: efficient diversification of investments. Basil Blackwell, New York (1959). [Google Scholar]
- S. Nayak and A. Ojha, An approach of fuzzy and TOPSIS to bi-level multi-objective nonlinear fractional programming problem. Soft Comput. 23 (2019) 5605–5618. [Google Scholar]
- A. Sinha, P. Malo and K. Deb, A review on bilevel optimization: From classical to evolutionary approaches and applications. IEEE Trans. Evol. Comput. 22 (2017) 276–295. [Google Scholar]
- R.H. Tütüncü and M. Koenig, Robust asset allocation. Ann. Oper. Res. 132 (2004) 157–187. [Google Scholar]
- S. Zhu, D. Li and S. Wang, Robust portfolio selection under downside risk measures. Quant. Finance 9 (2009) 869–885. [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.