Portfolio value-at-risk optimization for asymmetrically distributed asset returns (Q1926869): Difference between revisions

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-Kian-Guan Lim
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+W3122662914
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Q3703094
@@ Property / cites work: Q3703094 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Convex Optimization
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+Optimal Inequalities in Probability Theory: A Convex Optimization Approach
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+The Price of Robustness
@@ Property / cites work: The Price of Robustness / rank @@
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+A characterization of the distributions that imply mean-variance utility functions
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+Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
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+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
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+Portfolio Selection with Robust Estimation
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+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+Stochastic finance. An introduction in discrete time
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+Financial Data and the Skewed Generalized T Distribution
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
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