A hybrid two-stage robustness approach to portfolio construction under uncertainty-Reference-Cited by-同舟云学术

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A hybrid two-stage robustness approach to portfolio construction under uncertainty

Published:2022-10 Issue:9 Volume:34 Page:7735-7750
ISSN:1319-1578
Container-title:Journal of King Saud University - Computer and Information Sciences
language:en
Short-container-title:Journal of King Saud University - Computer and Information Sciences

Author:

Atta Mills Ebenezer Fiifi Emire,Anyomi Siegfried Kafui

Publisher

Elsevier BV

Subject

General Computer Science

Reference60 articles.

1. Entropic value-at-risk: A new coherent risk measure;Ahmadi-Javid;J. Optim. Theory Appl.,2012

2. Coherent measures of risk;Artzner;Math. Finance,1999

3. Research on regularized mean–variance portfolio selection strategy with modified roy safety-first principle;Atta Mills;SpringerPlus,2016

4. Scaled and stable mean-variance-evar portfolio selection strategy with proportional transaction costs;Atta Mills;J. Business Econ. Manage.,2017

5. Satisfying bank capital requirements: A robustness approach in a modified roy safety-first framework;Atta Mills;Mathematics,2019

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust portfolio optimization: a stochastic evaluation of worst-case scenarios;Economic Research-Ekonomska Istraživanja;2023-05-17

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