Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints (Q1615810): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / cites work
 
Property / cites work: A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints / rank
 
Normal rank
Property / cites work
 
Property / cites work: Logical analysis of numerical data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Chance-Constrained Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimization Methods in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3077976 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolios: contributions from operations research and finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio value-at-risk optimization for asymmetrically distributed asset returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: New reformulations for probabilistically constrained quadratic programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Programming Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Threshold Boolean form for joint probabilistic constraints with random technology matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio optimization when means and covariances are unknown / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties and calculation of multivariate risk measures: MVaR and MCVaR / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pattern definition of the \(p\)-efficiency concept / rank
 
Normal rank
Property / cites work
 
Property / cites work: From stochastic dominance to mean-risk models: Semideviations as risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample average approximation method for chance constrained programming: Theory and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate value at risk and related topics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2847378 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Safety First and the Holding of Assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Value-at-risk optimization using the difference of convex algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio selection with marginal risk control / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10479-015-2044-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1912140386 / rank
 
Normal rank

Latest revision as of 03:46, 17 July 2024

scientific article
Language Label Description Also known as
English
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
scientific article

    Statements

    Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints (English)
    0 references
    0 references
    0 references
    31 October 2018
    0 references
    multi-portfolio optimization
    0 references
    marginal risk contribution
    0 references
    downside risk
    0 references
    stochastic programming
    0 references
    risk budgeting
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references