- Robust optimization approaches for portfolio selection🔍
- [2010.13397] Robust Optimization Approaches for Portfolio Selection🔍
- Robust portfolio optimization🔍
- Robust Portfolio Selection Problems🔍
- Robust Optimization Approaches for Portfolio Selection🔍
- Robust optimization and portfolio selection🔍
- Portfolio Selection by Robust Optimization🔍
- Robust and Sparse Portfolio🔍
Robust optimization approaches for portfolio selection
Robust optimization approaches for portfolio selection
We consider different types of RO models based on popular risk measures and conduct an extensive comparative analysis of their performance using data from the ...
[2010.13397] Robust Optimization Approaches for Portfolio Selection
RO provides a computationally tractable framework for portfolio optimization based on relatively general assumptions on the probability distributions of the ...
Robust optimization approaches for portfolio selection - ResearchGate
Abstract and Figures. Robust optimization (RO) models have attracted a lot of interest in the area of portfolio selection. RO extends the ...
(PDF) Robust Optimization Approaches for Portfolio Selection
RO provides a computationally tractable framework for portfolio optimization based on relatively general assumptions on the probability distributions of the ...
Unlike the traditional approach, where inputs to the portfolio allocation framework are treated as deterministic, robust portfolio optimization incorporates the ...
Robust optimization approaches for portfolio selection: a comparative analysis. Annals of Operations Research, (pp. 1–17). Ghahtarani, A., & Najafi, A. A. ...
Robust Portfolio Selection Problems: A Comprehensive Review - arXiv
Robust optimization approaches for portfolio selection: a comparative analysis. Annals of Operations Research, (pp. 1–17). Ghahtarani, A ...
Robust Optimization Approaches for Portfolio Selection
The modeling and treatment of deep uncertainties for future asset returns is a major issue for the success of analytical portfolio selection models. Recently, ...
(PDF) Robust optimization approaches for portfolio selection
Robust optimization approaches for portfolio selection: a comparative analysis. ... TL;DR: In this paper, the authors consider different types of RO models based ...
Robust optimization and portfolio selection: The cost of robustness
Robust optimization is a tractable alternative to stochastic programming particularly suited for problems in which parameter values are unknown, variable and ...
Portfolio Selection by Robust Optimization
... robust optimization approach as the Bertsimas and Sim's model to the portfolio selection problem in which the unknown and variable return of an asset is ...
Robust and Sparse Portfolio: Optimization Models and Algorithms
The robust and sparse portfolio selection problem is one of the most-popular and -frequently studied problems in the optimization and financial literature.
When a data-driven choice is desired, we refer to [19] for a cross-validation-based approach. Remark 3.2. The rationale behind the positive definite projection ...
Robust Portfolio Selection Problems: A Comprehensive Review
A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, ...
Robust optimization, which incorporates estimation error directly into the portfolio optimization process, is typically used with conventional robust ...
Robust optimization approaches for portfolio selection - CoLab
RO extends the framework of traditional portfolio optimization models, incorporating uncertainty through a formal and analytical approach into ...
A practical guide to robust portfolio optimization - Semantic Scholar
The mechanisms by which robust optimization achieves its goal are investigated, practical guidance is given when it comes to the choice of uncertainty in ...
Robust optimization approaches for portfolio selection - OUCI
Robust optimization approaches for portfolio selection: a comparative analysis · List of references · Publications that cite this publication. Smart network ...
Adaptive robust online portfolio selection - ScienceDirect.com
In this paper, we propose a robust optimization (RO)-based strategy that takes transaction costs into account.
A novel two-phase robust portfolio selection and optimization ...
Additionally, a sensitivity analysis of all robust models of this study is examined. Illustrative results show that the proposed approach is ...