On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/article/10.1007/s10479-017-2619-8/fulltext.html
Reference34 articles.
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3. Bertsimas, D., Brown, D. B., & Caramanis, C. (2011). Theory and applications of robust optimization. SIAM Review, 53(3), 464–501.
4. Bessler, W., Opfer, H., & Wolff, D. (2017). Multi-asset portfolio optimization and out-of-sample performance: An evaluation of Black–Litterman, mean-variance, and naïve diversification approaches. The European Journal of Finance, 23(1), 1–30.
5. Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28–43.
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