Fetching the paper…
Reading the bibliography…
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem.
Distributionally robust optimization: A review
Rahimian, H. and Mehrotra, S. (2019) · 1908
Earlier work this paper cites.
Zur theorie der gesellschaftsspiele
Von Neumann, J. (1928) · 1928
Earlier work this paper cites.
Portfolio selection
Markowitz, H. (1952) · 1952
Earlier work this paper cites.
A min-max solution of an inventory problem
Scarf, H. (1958) · 1958
Earlier work this paper cites.
Capital asset prices: A theory of market equilibrium under conditions of risk
Sharpe, W. F. (1964) · 1964
Earlier work this paper cites.
On minimax solutions of stochastic linear programming problems
Žáčková, J. (1966) · 1966
Earlier work this paper cites.
On the goldstein-levitin-polyak gradient projection method
Bertsekas, D. P. (1976) · 1976
Earlier work this paper cites.
On estimating the expected return on the market: An exploratory investigation
Merton, R. C. (1980) · 1980
Earlier work this paper cites.
A nonmonotone line search technique for Newton’s method
Grippo, L., Lampariello, F., and Lucidi, S. (1986) · 1986
Earlier work this paper cites.
The minimax approach to stochastic programming and an illustrative application
Dupačová, J. (1987) · 1987
Earlier work this paper cites.
Two-point step size gradient methods
Barzilai, J. and Borwein, J. M. (1988) · 1988
Earlier work this paper cites.
On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results
Best, M. J. and Grauer, R. R. (1991) · 1991
Earlier work this paper cites.
Divergence measures based on the shannon entropy
Lin, J. (1991) · 1991
Earlier work this paper cites.
Computing efficient frontiers using estimated parameters
Broadie, M. (1993) · 1993
Earlier work this paper cites.
The effect of errors in means, variances, and covariances on optimal portfolio choice
Chopra, V. K. and Ziemba, W. T. (1993) · 1993
Earlier work this paper cites.
The sharpe ratio
Sharpe, W. F. (1994) · 1994
Earlier work this paper cites.
Algorithms for the solution of stochastic dynamic minimax problems
Breton, M. and El Hachem, S. (1995) · 1995
Cited alongside, same era.
Robust convex optimization
Ben-Tal, A. and Nemirovski, A. (1998) · 1998
Cited alongside, same era.
Nonmonotone spectral projected gradient methods on convex sets
Birgin, E. G., Martínez, J. M., and Raydan, M. (2000) · 2000
Cited alongside, same era.
The worst-case risk of a portfolio
Lobo, M. S. and Boyd, S. (2000) · 2000
Cited alongside, same era.
Minimax analysis of stochastic problems
Shapiro, A. and Kleywegt, A. (2002) · 2002
Cited alongside, same era.
Convex Analysis and Optimization
Bertsekas, D., Nedić, A., and Ozdaglar, A. (2003) · 2003
Cited alongside, same era.
A minimax theorem with applications to machine learning, signal processing, and finance
Kim, S.-J. and Boyd, S. (2008) · 2008
Later among the works it cites.
Robust optimization
Ben-Tal, A., El Ghaoui, L., and Nemirovski, A. (2009) · 2009
Later among the works it cites.
Subgradient methods for saddle-point problems
Nedić, A. and Ozdaglar, A. (2009) · 2009
Later among the works it cites.
Algorithms for worst-case design and applications to risk management
Rustem, B. and Howe, M. (2009) · 2009
Later among the works it cites.
Distributionally robust optimization under moment uncertainty with application to data-driven problems
Delage, E. and Ye, Y. (2010) · 2010
Later among the works it cites.
The properties of equally weighted risk contribution portfolios
Maillard, S., Roncalli, T., and Teiletche, J. (2010) · 2010
Later among the works it cites.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Endres, D. M. and Schindelin, J. E. (2003) · 2003
Cited alongside, same era.
Robust portfolio selection problems
Goldfarb, D. and Iyengar, G. (2003) · 2003
Cited alongside, same era.
Some recent advances in projection-type methods for variational inequalities
Xiu, N. and Zhang, J. (2003) · 2003
Cited alongside, same era.
The price of robustness
Bertsimas, D. and Sim, M. (2004) · 2004
Cited alongside, same era.
Jensen-shannon divergence and hilbert space embedding
Fuglede, B. and Topsoe, F. (2004) · 2004
Cited alongside, same era.
On a class of minimax stochastic programs
Shapiro, A. and Ahmed, S. (2004) · 2004
Cited alongside, same era.
Introduction to stochastic programming
Birge, J. R. and Louveaux, F. (2011) · 2011
Later among the works it cites.
Investigating the effectiveness of robust portfolio optimization techniques
Guastaroba, G., Mitra, G., and Speranza, M. G. (2011) · 2011
Later among the works it cites.
Robust solutions of optimization problems affected by uncertain probabilities
Ben-Tal, A., Den Hertog, D., De Waegenaere, A., Melenberg, B., and Rennen, G. (2013) · 2013
Later among the works it cites.
Computing equal risk contribution portfolios
Mausser, H. and Romanko, O. (2014) · 2014
Later among the works it cites.
Lectures on stochastic programming: modeling and theory
Shapiro, A., Dentcheva, D., and Ruszczyński, A. (2014) · 2014
Later among the works it cites.
Least-squares approach to risk parity in portfolio selection
Bai, X., Scheinberg, K., and Tütüncü, R. H. (2016) · 2016
Later among the works it cites.
Jump: A modeling language for mathematical optimization
Dunning, I., Huchette, J., and Lubin, M. (2017) · 2017
Later among the works it cites.
Robust empirical optimization is almost the same as mean–variance optimization
Gotoh, J., Kim, M. J., and Lim, A. E. (2018) · 2018
Later among the works it cites.
Data library
French, K. R. (2020) · 2020
Later among the works it cites.