A review on ambiguity in stochastic portfolio optimization (Q1711083): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11228-017-0458-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2767515154
@@ Property / OpenAlex ID: W2767515154 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds on total economic capital: the DNB case study
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Chance-Constrained Programming
@@ Property / cites work: Chance-Constrained Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal financial decision making under uncertainty
+Normal rank
@@ Property / cites work @@
+Linear Programming under Uncertainty
@@ Property / cites work: Linear Programming under Uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
+Normal rank
@@ Property / cites work @@
+Stochastic bounds on sums of dependent risks
@@ Property / cites work: Stochastic bounds on sums of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
+Normal rank
@@ Property / cites work @@
+Stochastic Programming Approximations Using Limited Moment Information, with Application to Asset Allocation
+Normal rank
@@ Property / cites work @@
+Aggregation-robustness and model uncertainty of regulatory risk measures
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Weak convergence of empirical copula processes
@@ Property / cites work: Weak convergence of empirical copula processes / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time.
+Normal rank
@@ Property / cites work @@
+On the rate of convergence in Wasserstein distance of the empirical measure
+Normal rank
@@ Property / cites work @@
+Goodness-of-fit tests for copulas: A review and a power study
+Normal rank
@@ Property / cites work @@
+A distributionally robust perspective on uncertainty quantification and chance constrained programming
+Normal rank
@@ Property / cites work @@
+Data-Driven Optimization of Reward-Risk Ratio Measures
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization with copulas
@@ Property / cites work: Robust portfolio optimization with copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Recent developments in robust portfolios with a worst-case approach
+Normal rank
@@ Property / cites work @@
+Advances in mathematical economics. Vol. 3
@@ Property / cites work: Advances in mathematical economics. Vol. 3 / rank @@
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
+Normal rank
@@ Property / cites work @@
+Model-free bounds on value-at-risk using extreme value information and statistical distances
+Normal rank
@@ Property / cites work @@
+Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic constrained optimization. Methodology and applications
+Normal rank
@@ Property / cites work @@
+Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007
+Normal rank
@@ Property / cites work @@
+Multistage Stochastic Optimization
@@ Property / cites work: Multistage Stochastic Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q3528030
@@ Property / cites work: Q3528030 / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity in portfolio selection
@@ Property / cites work: Ambiguity in portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of sharp bounds on the distribution of a function of dependent risks
+Normal rank
@@ Property / cites work @@
+Extremal dependence concepts
@@ Property / cites work: Extremal dependence concepts / rank @@
+Normal rank
@@ Property / cites work @@
+Random variables with maximum sums
@@ Property / cites work: Random variables with maximum sums / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical Risk Analysis
@@ Property / cites work: Mathematical Risk Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Bounds and Partial Dependence Information
@@ Property / cites work: Risk Bounds and Partial Dependence Information / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical Processes with Applications to Statistics
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+The complete mixability and convex minimization problems with monotone marginal densities
+Normal rank
@@ Property / cites work @@
+Extreme negative dependence and risk aggregation
@@ Property / cites work: Extreme negative dependence and risk aggregation / rank @@
+Normal rank
@@ Property / cites work @@
+Programming under uncertainty: The complete problem
+Normal rank
@@ Property / cites work @@
+A framework for optimization under ambiguity
@@ Property / cites work: A framework for optimization under ambiguity / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for mean-risk optimization and portfolio selection
+Normal rank