Worst-case analysis of Gini mean difference safety measure (Q1983716): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.3934/jimo.2020037 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3008651224 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Deriving robust counterparts of nonlinear uncertain inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extended Gini-Type Measures of Risk and Variability / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Price of Robustness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio selection for index tracking / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio selection based on asymmetric measures of variability of stock returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the efficiency of Gini's mean difference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Selection Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Worst-case robust Omega ratio / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability advances in robust portfolio optimization under parallelepiped uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Factor-based robust index tracking / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3634327 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The mean-absolute deviation portfolio selection problem with interval-valued returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional value at risk and related linear programming models for portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: A robust mean absolute deviation model for portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constructing Risk Measures from Uncertainty Sets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust and reliable portfolio optimization formulation of a chance constrained problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Enhanced indexing for risk averse investors using relaxed second order stochastic dominance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Omega-CVaR portfolio optimization and its worst case analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Minimax Portfolio Selection Rule with Linear Programming Solution / rank
 
Normal rank
Property / cites work
 
Property / cites work: On zero duality gap in nonconvex quadratic programming problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust portfolio selection under downside risk measures / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 14:04, 26 July 2024

scientific article
Language Label Description Also known as
English
Worst-case analysis of Gini mean difference safety measure
scientific article

    Statements

    Worst-case analysis of Gini mean difference safety measure (English)
    0 references
    0 references
    0 references
    10 September 2021
    0 references
    portfolio selection robust optimization
    0 references
    Gini mean difference
    0 references
    mixed uncertainty
    0 references
    interval+ polyhedral uncertainty
    0 references
    0 references

    Identifiers

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