Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions-Reference-Cited by-同舟云学术

Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions

Published:2019-04-29 Issue:3 Volume:28 Page:1296-1329
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Intl. Trans. in Op. Res.

Author:

Caçador Sandra¹²³^ORCID,Dias Joana Matos²³⁴^ORCID,Godinho Pedro²³^ORCID

Affiliation:

1. Higher Institute for Accountancy and Administration of the University of Aveiro R. Associação Humanitária dos Bombeiros Voluntários de Aveiro Aveiro 3810‐500 Portugal

2. Centre for Business and Economics Research (CeBER) Faculty of Economics, University of Coimbra Av. Dias da Silva, 165 Coimbra 3004–512 Portugal

3. Faculty of Economics, University of Coimbra Av. Dias da Silva, 165 Coimbra 3004–512 Portugal

4. Institute for Systems Engineering and Computers at Coimbra Rua Antero de Quental, N°199 Coimbra 3000–033 Portugal

Funder

Portuguese Science Foundation

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/itor.12674

Reference83 articles.

1. Coherent Measures of Risk

2. A Soft Robust Model for Optimization Under Ambiguity

3. Robust Optimization

4. Robust Convex Optimization

5. Exposition of a New Theory on the Measurement of Risk

Cited by 10 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. Stochastic portfolio optimization: A regret-based approach on volatility risk measures: An empirical evidence from The New York stock market;PLOS ONE;2024-04-22

2. The worst-case scenario: robust portfolio optimization with discrete distributions and transaction costs;AIMS Mathematics;2024

3. The Robust Emergency Medical Facilities Location-Allocation Models under Uncertain Environment: A Hybrid Approach;Sustainability;2022-12-29

4. Geometric compromise programming: application in portfolio selection;International Transactions in Operational Research;2022-07-17

5. An omega portfolio model with dynamic return thresholds;International Transactions in Operational Research;2022-04-28