Robust Portfolio Optimization Using Pseudodistances
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DOI: 10.1371/journal.pone.0140546
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References listed on IDEAS
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Cited by:
- Pichler, Alois & Schlotter, Ruben, 2020. "Entropy based risk measures," European Journal of Operational Research, Elsevier, vol. 285(1), pages 223-236.
- Giuseppe Pandolfo & Carmela Iorio & Roberta Siciliano & Antonio D’Ambrosio, 2020. "Robust mean-variance portfolio through the weighted $$L^{p}$$ L p depth function," Annals of Operations Research, Springer, vol. 292(1), pages 519-531, September.
- David Quintana & Roman Denysiuk & Sandra García-Rodríguez & Antonio Gaspar-Cunha, 2017. "Portfolio implementation risk management using evolutionary multiobjective optimization," Post-Print hal-01881379, HAL.
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