TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

Arrow, 1954, Existence of a Competitive Equilibrium for a Competitive Economy, Econometrica, 22, 265, 10.2307/1907353

Acerbi, 2002, On the Coherence of Expected Shortfall, J. Bank. Finance, 26, 1487, 10.1016/S0378-4266(02)00283-2

Artzner, 1999, Coherent Measures of Risk, Math. Finance, 9, 203, 10.1111/1467-9965.00068

Ben-Tal, 1998, Robust Convex Optimization, Math. Oper. Res., 23, 769, 10.1287/moor.23.4.769

Ben-Tal, 1986, Expected Utility, Penalty Functions and Duality in Stochastic Nonlinear Programming, Manage. Sci., 32, 1445, 10.1287/mnsc.32.11.1445

Ben-Tal, 2007, An Old-New Concept of Convex Risk Measures: The Optimized Certainty Equivalent, Math. Finance, 17, 449, 10.1111/j.1467-9965.2007.00311.x

Buhlmann, 1970, Mathematical Methods in Risk Theory

Calafiore, 2007, Ambiguous Risk measures and Optimal Robust Portfolios, SIAM J. Optim., 18, 853, 10.1137/060654803

Conrad, 1988, Time-Variation in Expected Returns, J. Business, 61, 409, 10.1086/296441

Delage , E. Y. Ye 2008

Detemple, 2003, A Monte Carlo Method for Optimal Portfolios, J. Finance, 58, 401, 10.1111/1540-6261.00529

Erdoğan, 2006, Ambiguous Chance Constrained Problems and Robust Optimization, Math. Prog., 107, 37, 10.1007/s10107-005-0678-0

Föllmer, 2002, Convex Measures of Risk and Trading Constraints, Finance Stoc., 6, 429, 10.1007/s007800200072

French , K. E. Fama http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Fritelli, 2002, Putting Order in Risk Measures, J. Bank. Finan., 26, 1473, 10.1016/S0378-4266(02)00270-4

Garlappi, 2007, Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach, Rev. Finan. Stud., 20, 41, 10.1093/rfs/hhl003

Gilboa, 1989, Maximin Expected Utility Theory with Non-Unique Prior, J. Math. Econ., 18, 141, 10.1016/0304-4068(89)90018-9

Isii, 1963, On the Sharpness of Chebyshev-Type Inequalities, Ann. Inst. Stat. Math., 12, 185

Korn, 2005, Worst-Case Scenario Portfolio Optimization: A New Stochastic Control Approach, Math. Meth. Oper. Res., 62, 123, 10.1007/s00186-005-0444-3

Markowitz, 1952, Portfolio Selection, J. Finance, 8, 77

Merton, 1971, Optimum Consumption and Portfolio Rules in a Conitinuous-Time Model, J. Econ. Theory, 3, 373, 10.1016/0022-0531(71)90038-X

Murty, 1987, Some NP-Complete Problems in Quadratic and Nonlinear Programming, Math. Prog., 39, 117, 10.1007/BF02592948

Natarajan, 2007, A Mean-Variance Bound for a Three Piece Linear Function, Prob. Eng. Inf. Sci., 21, 611, 10.1017/S0269964807000356

Natarajan, 2008, Incorporating Asymmetric Distributional Information in Robust Value-At-Risk Optimization, Manage. Sci., 54, 573, 10.1287/mnsc.1070.0769

Natarajan, 2009, Persistency Model and its Applications in Choice Modeling, Management Sci, 55, 453, 10.1287/mnsc.1080.0951

Nesterov, 1994, Algorithms, 13

Ocone, 1991, A Generalized Clark Representation Formula, with Applications to Optimal Portfolios, Stochastics, 37, 187

Pflug, 2000, Probabilistic Constrained Optimization: Methodology and Applications

Pflug, 2004, Risk Measures for the 21st Century

Popescu, 2007, Robust Mean-Covariance Solutions for Stochastic Optimization, Oper. Res., 55, 98, 10.1287/opre.1060.0353

Rockafellar, 2000, Optimization of Conditional Value-At-Risk, J. Risk, 2, 21, 10.21314/JOR.2000.038

Rogosinsky, 1958, Moments of Non-Negative Mass, Proc. Roy. Soc. Lond. Ser. A, 245, 1, 10.1098/rspa.1958.0062

Schwartz, 1977, Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals, J. Finan. Quant. Anal., 12, 291, 10.2307/2330436

Simonds, 1986, Testing for Nonstationarity of Market: An Exact Test and Power Considerations, J. Finan. Quant. Anal., 21, 209, 10.2307/2330738

Tütüncü, 2004, Robust Asset Allocation, Ann. Oper. Res., 132, 157, 10.1023/B:ANOR.0000045281.41041.ed

Von-Neumann, 1944, Theory of Games and Economic Behavior

Wippern, 1971, Utility Implications of Portfolio Selection and Performance Appraisal Models, J. Finan. Quant. Anal., 6, 913, 10.2307/2329911