Robust scenario-based value-at-risk optimization (Q286009): Difference between revisions

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+SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT
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+Sparse and stable Markowitz portfolios
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+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
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+On the role of norm constraints in portfolio selection
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+A heuristic for moment-matching scenario generation
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+Value-at-Risk model for hazardous material transportation
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+Bias, exploitation and proxies in scenario-based risk minimization
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+CVaR proxies for minimizing scenario-based value-at-risk
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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+Q2724706
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+Applications of Stochastic Programming
@@ Property / cites work: Applications of Stochastic Programming / rank @@
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+Enterprise risk management: a DEA VaR approach in vendor selection
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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