Risk and Portfolio Optimization

Field	Decision Sciences
Subfield	Management Science and Operations Research
Domain	Social Sciences
OpenAlex	T11413

Smeal faculty

• Zhenzhen Yan - score 4.0
• Giang Nguyen - score 3.0
• John C. Liechty - score 2.0
• Saurabh Bansal - score 1.0

Papers

• Portfolio selection with higher moments (2010) - cites 535
• On the Design of Sparse but Efficient Structures in Operations (2017) - cites 59
• BAYES VS. RESAMPLING: A REMATCH (2008) - cites 38
• Distributionally Robust Linear and Discrete Optimization with Marginals (2022) - cites 24
• Distributionally Robust Linear and Discrete Optimization with Marginals (2018) - cites 16
• Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set (2023) - cites 13
• Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (2018) - cites 10
• Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation (2016) - cites 5
• Technical Note—Multivariate Partial-Expectation Results for Exact Solutions of Two-Stage Problems (2017) - cites 4
• Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation (2017) - cites 2