76 citations · 125 across the 30 of their papers we have counts for
3 papers · 2 filters
Regression techniques for Portfolio Optimisation using MOSEK
Thomas Schmelzer, Raphael Hauser, Erling Andersen +1
Regression is widely used by practioners across many disciplines. We reformulate the underlying optimisation problem as a second-order conic program providing the flexibility often…
Seven Sins in Portfolio Optimization
Thomas Schmelzer, Raphael Hauser
Although modern portfolio theory has been in existence for over 60 years, fund managers often struggle to get its models to produce reliable portfolio allocations without strongly…
Relative Robust Portfolio Optimization
Raphael Hauser, Vijay Krishnamurthy, Reha Tütüncü
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach base…