Robust portfolio optimization: a categorized bibliographic review

P Xidonas, R Steuer, C Hassapis - Annals of Operations Research, 2020 - Springer
Robust portfolio optimization refers to finding an asset allocation strategy whose behavior
under the worst possible realizations of the uncertain inputs, eg, returns and covariances, is …

Robust portfolio selection problems: a comprehensive review

A Ghahtarani, A Saif, A Ghasemi - Operational Research, 2022 - Springer
This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

Robust enhanced indexation with ESG: An empirical study in the Chinese Stock Market

X Li, F Xu, K Jing - Economic Modelling, 2022 - Elsevier
The enhanced indexation constructs tracking portfolios to outperform the benchmark index
without incurring additional downside risk. Previous studies only consider optimizing the …

Big data-driven cognitive computing system for optimization of social media analytics

AK Sangaiah, A Goli, EB Tirkolaee… - Ieee …, 2020 - ieeexplore.ieee.org
The integration of big data analytics and cognitive computing results in a new model that can
provide the utilization of the most complicated advances in industry and its relevant decision …

On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization

M Fakhar, MR Mahyarinia, J Zafarani - European Journal of Operational …, 2018 - Elsevier
We introduce a new concept of generalized convexity at a given point for a family of real-
valued functions and deduce nonsmooth sufficient optimality conditions for robust (weakly) …

Repercussions of the Russia–Ukraine war

E Tong - International Review of Economics & Finance, 2024 - Elsevier
Using the heteroscedasticity-based estimator of Rigobon and Sack (2005) to identify daily
shocks of the Russia–Ukraine war, I assess and quantify the dynamic impact of the conflict …

[HTML][HTML] Lstm-based deep learning model for stock prediction and predictive optimization model

AM Rather - EURO Journal on Decision Processes, 2021 - Elsevier
A new method of predicting time-series-based stock prices and a new model of an
investment portfolio based on predictions obtained is proposed here. For this purpose, a …

[PDF][PDF] Behavioral Finance biases: A Comprehensive Review on regret approach studies in portfolio optimization

AML Fooeik, H Ghanbari, SJ Sadjadi… - … journal of industrial …, 2024 - researchgate.net
In the ever-evolving realm of finance, investors have a myriad of strategies at their disposal
to effectively and cleverly allocate their wealth in the expansive financial market. Among …

Norm constrained minimum variance portfolios with short selling

V Dhingra, SK Gupta, A Sharma - Computational Management Science, 2023 - Springer
Short selling is a wealth-building trading procedure which, when included in the portfolio
construction, not only helps increase the return on investment but also reduces the investor's …

Stochastic portfolio optimization: A regret-based approach on volatility risk measures: An empirical evidence from The New York stock market

AM Larni-Fooeik, SJ Sadjadi, E Mohammadi - Plos one, 2024 - journals.plos.org
Portfolio optimization involves finding the ideal combination of securities and shares to
reduce risk and increase profit in an investment. To assess the impact of risk in portfolio …