Concepedia

Portfolio Risk Optimization

Portfolio Risk Optimization is a risk optimization framework that systematically determines the optimal allocation of assets within a portfolio by minimizing risk exposure or maximizing risk-adjusted returns, subject to specified constraints and objectives.

212

Publications

11.8K

Citations

455

Authors

286

Institutions

Publications per year

2017–2026

71

Parents

Publications

212

Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations

Peyman Mohajerin Esfahani, Daniel Kühn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) · 2017 · 1.8K citations · Full text

, , +17

Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

Hiroshi Konno, Hiroaki Yamazaki · Management Science · 1991 · 1.5K citations

, , +15

Portfolio optimization problems in different risk measures using genetic algorithm

Tun-Jen Chang, Sang-Chin Yang, Kuang-Jung Chang · Expert Systems with Applications · 2009 · 284 citations

, , +16

Cluster analysis for portfolio optimization

Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati et al. · Journal of Economic Dynamics and Control · 2007 · 283 citations

, , +14

Building Diversified Portfolios that Outperform Out of Sample

Marcos López de Prado · The Journal of Portfolio Management · 2016 · 279 citations

, , +17

1–5 of 212

Authors

455

  1. WR
    Werner Römisch

    Humboldt-Universität zu Berlin, Germany

    3 publications · 50 citations

    3

    h-index

  2. YS
    Yufei Sun

    Curtin University, Australia

    3 publications · 69 citations

    3

    h-index

  3. KL
    Kok Lay Teo

    Curtin University, Australia

    3 publications · 69 citations

    3

    h-index

  4. SZ
    Shushang Zhu

    Fudan University, China

    3 publications · 70 citations

    3

    h-index

  5. FL
    Feifei Li

    University of California, Los Angeles, United States

    3 publications · 104 citations

    3

    h-index

1–5 of 455

Institutions

286

  1. Beihang University

    Beijing, China

    4 h-index

    7 publications

    276 citations

  2. National University of Singapore

    Singapore, Singapore

    4 h-index

    8 publications

    369 citations

  3. Centre National de la Recherche Scientifique

    Paris, France

    3 h-index

    5 publications

    113 citations

  4. South China University of Technology

    Guangzhou, China

    3 h-index

    8 publications

    281 citations

  5. Eötvös Loránd University

    Budapest, Hungary

    3 h-index

    6 publications

    416 citations

  6. Nanyang Technological University

    Singapore, Singapore

    3 h-index

    5 publications

    175 citations

  7. Chinese Academy of Sciences

    Beijing, China

    3 h-index

    3 publications

    137 citations

  8. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    3 h-index

    3 publications

    92 citations

1–8 of 286

Venues

  1. European Journal of Operational Research

    13 publications · 598 citations

    12

    h-index

  2. SSRN Electronic Journal

    Repository · 11 publications · 283 citations

    10

    h-index

  3. The Journal of Portfolio Management

    JPM · 7 publications · 454 citations

    7

    h-index

  4. Annals of Operations Research

    7 publications · 220 citations

    7

    h-index

  5. Quantitative Finance

    6 publications · 343 citations

    6

    h-index

1–5