Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets

Mathematical Finance ◽

10.1111/mafi.12337 ◽

2021 ◽

Author(s):

Jan Obłój ◽

Johannes Wiesel

Keyword(s):

Financial Markets ◽

Marginal Utility ◽

Robust Portfolio ◽

Distributionally Robust ◽

Utility Pricing

Download Full-text

KDE distributionally robust portfolio optimization with higher moment coherent risk

Annals of Operations Research ◽

10.1007/s10479-021-04171-4 ◽

2021 ◽

Author(s):

Wei Liu ◽

Li Yang ◽

Bo Yu

Keyword(s):

Portfolio Optimization ◽

Coherent Risk ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Distributionally Robust

Download Full-text

A New Data-Driven Distributionally Robust Portfolio Optimization Method Based on Wasserstein Ambiguity Set

IEEE Access ◽

10.1109/access.2020.3047967 ◽

2021 ◽

Vol 9 ◽

pp. 3174-3194

Author(s):

Ningning Du ◽

Yankui Liu ◽

Ying Liu

Keyword(s):

Portfolio Optimization ◽

Optimization Method ◽

Data Driven ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Distributionally Robust

Download Full-text

Distributionally Robust Portfolio Optimization

2019 IEEE 58th Conference on Decision and Control (CDC) ◽

10.1109/cdc40024.2019.9029381 ◽

2019 ◽

Author(s):

I. E. Bardakci ◽

C. M. Lagoa

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Distributionally Robust

Download Full-text

Distributionally Robust Portfolio Optimization with STARR Performance Measure

SSRN Electronic Journal ◽

10.2139/ssrn.3542667 ◽

2019 ◽

Author(s):

Ran Ji ◽

Miguel Lejeune ◽

Zhengyang Fan

Keyword(s):

Portfolio Optimization ◽

Performance Measure ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Distributionally Robust

Download Full-text

Distributionally robust portfolio optimization with linearized STARR performance measure

Quantitative Finance ◽

10.1080/14697688.2021.1993623 ◽

2021 ◽

pp. 1-15

Author(s):

Ran Ji ◽

Miguel A. Lejeune ◽

Zhengyang Fan

Keyword(s):

Portfolio Optimization ◽

Performance Measure ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Distributionally Robust

Download Full-text

Asia-Pacific Financial Markets: Integration, Innovation and Challenges

10.1016/s1569-3767(2007)8 ◽

2007 ◽

Keyword(s):

Financial Markets ◽

Asia Pacific

Download Full-text

Latin American Financial Markets: Developments in Financial Innovations

10.1016/s1569-3767(2005)5 ◽

2005 ◽

Keyword(s):

Financial Markets ◽

Latin American ◽

Financial Innovations

Download Full-text

The Regulation of International Financial Markets

10.1017/cbo9780511494505 ◽

2006 ◽

Cited By ~ 3

Keyword(s):

Financial Markets ◽

International Financial Markets

Download Full-text

European Financial Markets and Institutions

10.1017/cbo9780511806230 ◽

2009 ◽

Cited By ~ 28

Author(s):

Jakob de Haan ◽

Sander Oosterloo ◽

Dirk Schoenmaker

Keyword(s):

Financial Markets ◽

Markets And Institutions

Download Full-text

Discrete Models of Financial Markets

10.1017/cbo9781139051583 ◽

2009 ◽

Cited By ~ 1

Author(s):

Marek Capinski ◽

Ekkehard Kopp

Keyword(s):

Financial Markets ◽

Discrete Models

Download Full-text