Robust min}max portfolio strategies for rival forecast and risk scenarios

By Berç Rustem, Robin Becker, Wolfgang Marty. 2000

80 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/6e00fb0c23b2ccf1b00e8a7404306ba6a7c9df84

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Alberto Martín-Utrera
2. Victor DeMiguel
3. Francisco Javier Nogales
4. Oswaldo Luiz do Valle Costa

In Management Science and Operations Research

1. Francisco Javier Nogales
2. Alberto Martín-Utrera
3. Victor DeMiguel
4. Oswaldo Luiz do Valle Costa
5. Clifford Lam
6. Michael Wolf
7. Olivier Ledoit

In Ocean Engineering

1. Alberto Martín-Utrera
2. Victor DeMiguel
3. Francisco Javier Nogales

Citations in the corpus

• Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, methodology): “Some approaches have been already proposed to deal with this problem by shrinking the eigenvalues of the sample covariance matrix (see Stein (1975), Dey and Srinivasan (1985), Zumbach (2009)).”
• Robust portfolio selection using linear-matrix inequalities (2002, background): “Remark 3. From (3.6), (3.7) and the proof of Theorem 1 we have that problem LMI 1 is equivalent to the following robust min}max portfolio problem as posed by Rustem et al. (2000) :”