@@ -29,7 +29,7 @@ @article {Ledoit
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@article {Ledoit2008 ,
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author ={ Ledoit, Oliver and Wolf, Michael} ,
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- title ={ { Robust performance hypothesis testing with the Sharpe ratio} } ,
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+ title ={ Robust performance hypothesis testing with the Sharpe ratio} ,
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journal ={ Journal of Empirical Finance} ,
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year =2008 ,
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volume ={ 15} ,
@@ -84,20 +84,19 @@ @article{Resampling
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}
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@Article {Worst1 ,
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- author =" T{\"u}t{\"u}nc{\"u}, R.H.
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- and Koenig, M." ,
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- title =" Robust Asset Allocation" ,
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- journal =" Annals of Operations Research" ,
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- year =" 2004" ,
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- month =" Nov" ,
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- day =" 01" ,
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- volume =" 132" ,
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- number =" 1" ,
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- pages =" 157--187" ,
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- abstract =" This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case behavior. Techniques for generating uncertainty sets from historical data are discussed and numerical results that illustrate the stability of robust optimal asset mixes are reported." ,
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- issn =" 1572-9338" ,
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- doi =" 10.1023/B:ANOR.0000045281.41041.ed" ,
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- url =" https://doi.org/10.1023/B:ANOR.0000045281.41041.ed"
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+ author ={ T{\"u}t{\"u}nc{\"u}, R.H. and Koenig, M.} ,
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+ title ={ Robust Asset Allocation} ,
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+ journal ={ Annals of Operations Research} ,
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+ year ={ 2004} ,
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+ month ={ Nov} ,
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+ day ={ 01} ,
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+ volume ={ 132} ,
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+ number ={ 1} ,
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+ pages ={ 157--187} ,
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+ abstract ={ This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach presented here takes a conservative viewpoint and identifies asset mixes that have the best worst-case behavior. Techniques for generating uncertainty sets from historical data are discussed and numerical results that illustrate the stability of robust optimal asset mixes are reported.} ,
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+ issn ={ 1572-9338} ,
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+ doi ={ 10.1023/B:ANOR.0000045281.41041.ed} ,
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+ url ={ https://doi.org/10.1023/B:ANOR.0000045281.41041.ed}
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}
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@article {Black1 ,
@@ -246,7 +245,7 @@ @article{Santos
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@Article {Hawawini ,
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author ={ Gabriel A. Hawawini} ,
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- title ={ { The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications} } ,
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+ title ={ The Intertemporal Cross Price Behavior of Common Stocks: Evidence and Implications} ,
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journal ={ Journal of Financial Research} ,
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year =1980 ,
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volume ={ 3} ,
@@ -263,7 +262,7 @@ @Article{Hawawini
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@TechReport {Ledoit2010 ,
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author ={ Olivier Ledoit and Michael Wolf} ,
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- title ={ { Robust performance hypothesis testing with the variance} } ,
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+ title ={ Robust performance hypothesis testing with the variance} ,
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year =2010 ,
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month =Oct,
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institution ={ Institute for Empirical Research in Economics - University of Zurich} ,
@@ -277,7 +276,7 @@ @TechReport{Ledoit2010
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@TechReport {Ledoit2018 ,
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author ={ Olivier Ledoit and Michael Wolf} ,
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- title ={ { Robust performance hypothesis testing with smooth functions of population moments} } ,
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+ title ={ Robust performance hypothesis testing with smooth functions of population moments} ,
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year =2018 ,
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month =Oct,
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institution ={ Department of Economics - University of Zurich} ,
@@ -314,7 +313,7 @@ @article{Rockafellar
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@InCollection {Uryasev1 ,
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author ={ A. Chekhlov and S. Uryasev and M. Zabarankin} ,
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editor ={ Panos M Pardalos and Athanasios Migdalas and George Baourakis} ,
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- title ={ { Portfolio Optimization With Drawdown Constraints} } ,
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+ title ={ Portfolio Optimization With Drawdown Constraints} ,
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booktitle ={ {Supply Chain And Finance}} ,
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publisher ={ World Scientific Publishing Co. Pte. Ltd.} ,
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year =2004 ,
@@ -369,12 +368,6 @@ @article{Mansini3
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doi = { 10.1016/j.ejor.2013.08.035}
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}
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- @comment {
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-
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- Los que siguen son ejemplos de libros.
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-
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- }
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-
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@book {Knuth84 ,
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Author = { Donald E. Knuth} ,
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Publisher = { Addison-Wesley} ,
@@ -426,53 +419,6 @@ @book{Mansini
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doi = { 10.1007/978-3-319-18482-1}
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}
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- @comment {
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-
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- Ahora un ejemplo de un art'iculo publicado en un congreso. Nota tambi'en
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- que, a'un cuando son varios autores, tienes que escribir *siempre* la
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- palabra " and " entre cada par de ellos.
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-
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- }
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-
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- @inproceedings {Rofl06 ,
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- Author = { Matthew Caesar and Tyson Condie and Jayanthkumar Kannan
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- and Karthik Lakshminarayanan and Ion Stoica} ,
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- Booktitle = { ACM SIGCOMM} ,
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- Title = { {ROFL}: Routing on Flat Labels} ,
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- Year = { 2006} }
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-
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- @comment {
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-
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- Finalmente dos referencias a manuales.
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-
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- }
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-
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- @misc {Wolf ,
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- author = { Michael Wolf} ,
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- title = { Publications} ,
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- year = { 2008} ,
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- howpublished = { \url{https://www.econ.uzh.ch/en/people/faculty/wolf/publications.html}} ,
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- urldate = { 15-07-2019}
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- }
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-
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- @manual {doc:natbib ,
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- Author = { Patrick W. Daly} ,
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- Month = feb,
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- Title = { Naural Sciences Citations and References} ,
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- Year = { 2007} }
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-
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- @manual {doc:geometry ,
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- Author = { Hideo Umeki} ,
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- Month = jul,
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- Title = { The geometry package} ,
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- Year = { 2002} }
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-
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- @comment {
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-
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- Referencias a tesis
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-
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- }
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-
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@mastersthesis {Graaf ,
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author = { T.A. de Graaf} ,
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title = { Robust Mean-Variance Optimization} ,
@@ -824,10 +770,9 @@ @article{Prado2
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author = { Prado, Marcos} ,
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year = { 2019} ,
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month = { 01} ,
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- pages = { } ,
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title = { A Robust Estimator of the Efficient Frontier} ,
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journal = { SSRN Electronic Journal} ,
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- doi = { 10.2139/ssrn.3469961}
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+ doi = { 10.2139/ssrn.3469961} ,
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}
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@article {jLogo ,
@@ -852,7 +797,7 @@ @book{MLforAM
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publisher ={ Cambridge University Press} ,
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author ={ López de Prado, Marcos M.} ,
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year ={ 2020} ,
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- collection ={ Elements in Quantitative Finance}
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+ collection ={ Elements in Quantitative Finance} ,
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}
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@article {Cajas3 ,
@@ -883,7 +828,7 @@ @article{Ogryczak2002
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title = { Dual Stochastic Dominance and Quantile Risk Measures} ,
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volume = { 9} ,
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journal = { International Transactions in Operational Research} ,
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- doi = { 10.1111/1475-3995.00380}
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+ doi = { 10.1111/1475-3995.00380} ,
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}
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@article {Gerber2021 ,
@@ -893,7 +838,7 @@ @article{Gerber2021
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publisher = { Elsevier {BV}} ,
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author = { Sander Gerber and Harry Markowitz and Philip Ernst and Yinsen Miao and Babak Javid and Paul Sargen} ,
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title = { The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization} ,
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- journal = { SSRN Electronic Journal} ,
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+ journal = { SSRN Electronic Journal} ,
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}
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@article {Cajas4 ,
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author = { Dany Cajas} ,
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title = { Portfolio Optimization of Relativistic Value at Risk} ,
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journal = { SSRN Electronic Journal} ,
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- doi = { 10.2139/ssrn.4378498} ,
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}
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@article {Cajas6 ,
@@ -984,7 +928,7 @@ @article{Cajas11
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month = { 12} ,
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title = { A Graph Theory Approach to Portfolio Optimization Part II} ,
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journal = { SSRN Electronic Journal} ,
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- doi = { 10.2139/ssrn.4667426 } ,
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+ doi = { 10.2139/ssrn.4540021 } ,
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}
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@book {Meucci2005 ,
@@ -993,7 +937,7 @@ @book{Meucci2005
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year = { 2005} ,
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publisher = { Springer Berlin Heidelberg} ,
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author = { Attilio Meucci} ,
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- title = { Risk and Asset Allocation}
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+ title = { Risk and Asset Allocation} ,
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}
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@article {Feng2016 ,
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pages = { 1--231} ,
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author = { Yiyong Feng and Daniel P. Palomar} ,
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title = { A Signal Processing Perspective of Financial Engineering} ,
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- journal = { Foundations and Trends{\textregistered} in Signal Processing}
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+ journal = { Foundations and Trends{\textregistered} in Signal Processing} ,
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}
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@article {Jorion1986 ,
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doi = { 10.2307/2331042} ,
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url = { https://doi.org/10.2307/2331042} ,
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year = { 1986} ,
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month = sep,
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- publisher = { { JSTOR} } ,
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+ publisher = { JSTOR} ,
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volume = { 21} ,
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number = { 3} ,
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pages = { 279} ,
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author = { Philippe Jorion} ,
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title = { Bayes-Stein Estimation for Portfolio Analysis} ,
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- journal = { The Journal of Financial and Quantitative Analysis}
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+ journal = { The Journal of Financial and Quantitative Analysis} ,
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}
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@article {Bodnar2019 ,
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doi = { 10.1016/j.jmva.2018.07.004} ,
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url = { https://doi.org/10.1016\%2Fj.jmva.2018.07.004} ,
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- year = 2019 ,
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- month = { mar } ,
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+ year = { 2019} ,
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+ month = { 03 } ,
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publisher = { Elsevier {BV}} ,
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volume = { 170} ,
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pages = { 63--79} ,
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author = { Taras Bodnar and Ostap Okhrin and Nestor Parolya} ,
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title = { Optimal shrinkage estimator for high-dimensional mean vector} ,
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- journal = { Journal of Multivariate Analysis}
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+ journal = { Journal of Multivariate Analysis} ,
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}
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@article {Ojeda2015 ,
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pages = { 60} ,
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author = { Ignacio Ojeda} ,
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title = { Kronecker Square Roots and the Block Vec Matrix} ,
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- journal = { The American Mathematical Monthly}
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+ journal = { The American Mathematical Monthly} ,
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}
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+ @mastersthesis {Yang2019 ,
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+ author = { Yang, Mingyu} ,
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+ title = { Uncertainty Set Sizes, Sensitivity Analysis, in Robust Portfolio Optimization} ,
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+ school = { University of Waterloo} ,
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+ year = 2019 ,
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+ url ={ https://www.math.uwaterloo.ca/~hwolkowi/henry/reports/MingyuYangCM-eresearchpaper-printcopy.pdf} ,
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+ }
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+
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+
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@Inbook {VanLoan1993 ,
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author ={ Van Loan, C. F. and Pitsianis, N.} ,
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editor ={ Moonen, Marc S. and Golub, Gene H. and De Moor, Bart L. R.} ,
@@ -1060,15 +1013,7 @@ @Inbook{VanLoan1993
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pages ={ 293--314} ,
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isbn ={ 978-94-015-8196-7} ,
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doi ={ 10.1007/978-94-015-8196-7\_17} ,
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- url ={ https://doi.org/10.1007/978-94-015-8196-7\_17}
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- }
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-
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- @mastersthesis {Yang2019 ,
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- title ={ Uncertainty Set Sizes, Sensitivity Analysis, in Robust Portfolio Optimization} ,
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- author ={ Yang, Mingyu} ,
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- year ={ 2019}
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- school={ University of Waterloo} ,
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- url ={ https://www.math.uwaterloo.ca/~hwolkowi/henry/reports/MingyuYangCM-eresearchpaper-printcopy.pdf} ,
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+ url ={ https://doi.org/10.1007/978-94-015-8196-7\_17} ,
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}
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@article {Tutuncu2004 ,
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number = { 4} ,
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year = { 2003} ,
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pages = { 543--556} ,
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- publisher = { INFORMS}
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+ publisher = { INFORMS} ,
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}
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- @article {Roncalli2012b ,
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+ @article {Roncalli2012b ,
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author = { Roncalli, Thierry and Weisang, Guillaume} ,
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year = { 2012} ,
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month = { 09} ,
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- pages = { } ,
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title = { Risk Parity Portfolios with Risk Factors} ,
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volume = { 16} ,
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journal = { SSRN Electronic Journal} ,
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