Robust portfolio optimization with derivative insurance guarantees

Citations

Cited by:

1. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
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4. Soleimanian, Azam & Salmani Jajaei, Ghasemali, 2013. "Robust nonlinear optimization with conic representable uncertainty set," European Journal of Operational Research, Elsevier, vol. 228(2), pages 337-344.
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6. Benati, S. & Conde, E., 2022. "A relative robust approach on expected returns with bounded CVaR for portfolio selection," European Journal of Operational Research, Elsevier, vol. 296(1), pages 332-352.
7. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
8. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
9. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
10. Raquel Fonseca & Wolfram Wiesemann & Berç Rustem, 2012. "Robust international portfolio management," Computational Management Science, Springer, vol. 9(1), pages 31-62, February.
    • Raquel J. Fonseca & Wolfram Wiesemann & Berc Rustem, 2010. "Robust International Portfolio Management," Working Papers 029, COMISEF.
11. Geng Deng & Tim Dulaney & Craig McCann & Olivia Wang, 2013. "Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 293-305, October.
12. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
13. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
14. Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
15. Maria Scutellà & Raffaella Recchia, 2013. "Robust portfolio asset allocation and risk measures," Annals of Operations Research, Springer, vol. 204(1), pages 145-169, April.
16. Mohd Azdi Maasar & Diana Roman & Paresh Date, 2022. "Risk minimisation using options and risky assets," Operational Research, Springer, vol. 22(1), pages 485-506, March.
17. Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, vol. 8(4), pages 323-353, November.
18. Mauricio Diaz & Roy H. Kwon, 2019. "Portfolio optimization with covered calls," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 38-53, February.
19. Ling, Aifan & Sun, Jie & Wang, Meihua, 2020. "Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set," European Journal of Operational Research, Elsevier, vol. 285(1), pages 81-95.
20. Ling, Aifan & Sun, Jie & Yang, Xiaoguang, 2014. "Robust tracking error portfolio selection with worst-case downside risk measures," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 178-207.
21. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
22. Saeed Marzban & Masoud Mahootchi & Alireza Arshadi Khamseh, 2015. "Developing a multi-period robust optimization model considering American style options," Annals of Operations Research, Springer, vol. 233(1), pages 305-320, October.
23. Ashrafi, Hedieh & Thiele, Aurélie C., 2021. "A study of robust portfolio optimization with European options using polyhedral uncertainty sets," Operations Research Perspectives, Elsevier, vol. 8(C).
24. Aharon Ben-Tal & Ruud Brekelmans & Dick den Hertog & Jean-Philippe Vial, 2017. "Globalized Robust Optimization for Nonlinear Uncertain Inequalities," INFORMS Journal on Computing, INFORMS, vol. 29(2), pages 350-366, May.
    • Ben-Tal, A. & Brekelmans, Ruud & den Hertog, Dick & Vial, J.P., 2015. "Globalized Robust Optimization for Nonlinear Uncertain Inequalities," Discussion Paper 2015-031, Tilburg University, Center for Economic Research.
    • Ben-Tal, A. & Brekelmans, Ruud & den Hertog, Dick & Vial, J.P., 2015. "Globalized Robust Optimization for Nonlinear Uncertain Inequalities," Other publications TiSEM 05c1b5b6-5b26-46f6-bd3a-a, Tilburg University, School of Economics and Management.
25. Ramponi, Federico Alessandro & Campi, Marco C., 2018. "Expected shortfall: Heuristics and certificates," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1003-1013.
26. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
27. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
28. Lagos, Guido & Espinoza, Daniel & Moreno, Eduardo & Vielma, Juan Pablo, 2015. "Restricted risk measures and robust optimization," European Journal of Operational Research, Elsevier, vol. 241(3), pages 771-782.
29. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
30. Vasilios N. Katsikis & Spyridon D. Mourtas, 2020. "ORPIT: A Matlab Toolbox for Option Replication and Portfolio Insurance in Incomplete Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 711-721, December.
31. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.