Data-Driven Optimization of Reward-Risk Ratio Measures (Q5085482): 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/10.1287/ijoc.2020.1002
+Normal rank
@@ Property / OpenAlex ID @@
+W3123788783
@@ Property / OpenAlex ID: W3123788783 / rank @@
+Normal rank
@@ Property / cites work @@
+Deriving robust counterparts of nonlinear uncertain inequalities
+Normal rank
@@ Property / cites work @@
+Weighted Csiszár-Kullback-Pinsker inequalities and applications to transportation inequalities
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+Ambiguous Risk Measures and Optimal Robust Portfolios
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Ambiguous chance constrained problems and robust optimization
+Normal rank
@@ Property / cites work @@
+Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
+Normal rank
@@ Property / cites work @@
+On the rate of convergence in Wasserstein distance of the empirical measure
+Normal rank
@@ Property / cites work @@
+Robust Optimization Made Easy with ROME
@@ Property / cites work: Robust Optimization Made Easy with ROME / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+A distributionally robust perspective on uncertainty quantification and chance constrained programming
+Normal rank
@@ Property / cites work @@
+Data-driven chance constrained stochastic program
@@ Property / cites work: Data-driven chance constrained stochastic program / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-case robust Omega ratio
@@ Property / cites work: Worst-case robust Omega ratio / rank @@
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
+Normal rank
@@ Property / cites work @@
+Ambiguity in portfolio selection
@@ Property / cites work: Ambiguity in portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
+Normal rank
@@ Property / cites work @@
+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
+Normal rank
@@ Property / cites work @@
+Technical Note—A Conic Integer Optimization Approach to the Constrained Assortment Problem Under the Mixed Multinomial Logit Model
+Normal rank
@@ Property / cites work @@
+Sanov's theorem in the Wasserstein distance: a necessary and sufficient condition
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Convex Optimization
@@ Property / cites work: Distributionally Robust Convex Optimization / rank @@
+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 @@
+Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
+Normal rank
@@ Property / cites work @@
+Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
+Normal rank
@@ Property / cites work @@
+Q5543208
@@ Property / cites work: Q5543208 / rank @@
+Normal rank