scholar.google.com › citations
Robust optimization is proposed as an alternative that incorporates return and risk uncertainty in portfolio optimization. Directional change (DC) methods ...
Abstract—Dynamic portfolio optimization is inherently chal- lenging due to the complexity of asset price dynamics and forecasts. Robust optimization is ...
Dec 5, 2023 · In this paper, we study a robust DC-based portfolio optimization (RDC) method, for returns maximization. The proposed method uses price signals from the DC ...
This paper gives a brief review of the theory and applications of the robust optimization. Major issues including tractability, relations with relevant ...
Dive into the research topics of 'Portfolio Return Maximization using Robust Optimization and Directional Changes'. Together they form a unique fingerprint.
People also ask
What is robust portfolio optimization?
What is the best method of portfolio optimization?
What is the objective of portfolio optimization?
Why portfolio optimization?
Portfolio Return Maximization using Robust Optimization and Directional Changes · Paulo Rodrigues ; Portfolio Re-balancing and Optimization using Directional ...
The objective of robust portfolio optimization is to find a way to allocate capital to some financial assets such that portfolio return is maximized in the ...
Missing: Directional | Show results with:Directional
Robust optimization takes into account the uncertainty in expected returns ... Portfolio Return Maximization using Robust Optimization and Directional Changes.
Portfolio Re-Balancing and Optimization Using Directional Changes and ... Portfolio Return Maximization using Robust Optimization and Directional Changes.
We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks.
Missing: Directional | Show results with:Directional