Portfolio optimization with entropic value-at-risk (Q2001477): Difference between revisions

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+Entropic value-at-risk: a new coherent risk measure
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+Addendum to: Entropic value-at-risk: a new coherent risk measure
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+An analytical study of norms and Banach spaces induced by the entropic value-at-risk
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+A local convergence property of primal-dual methods for nonlinear programming
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+Coherent Measures of Risk
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+Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
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+MEASURING DISTRIBUTION MODEL RISK
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+On exact and approximate stochastic dominance strategies for portfolio selection
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+Expected Value Minimization in Information Theoretic Multiple Priors Models
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+Q4550909
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+Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
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+A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
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+Interior Methods for Nonlinear Optimization
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+Markowitz revisited: social portfolio engineering
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+Fast gradient descent method for mean-CVaR optimization
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+Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
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+years of portfolio optimization: practical challenges and current trends
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+Computational aspects of minimizing conditional value-at-risk
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+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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+Twenty years of linear programming based portfolio optimization
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+Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
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+Portfolio Optimization with Quasiconvex Risk Measures
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+On solving the dual for portfolio selection by optimizing conditional value at risk
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+A quantitative comparison of risk measures
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+Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
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+Optimization of Convex Risk Functions
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+Distributionally Robust Stochastic Programming
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+A more human-like portfolio optimization approach
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+Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
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+A Primal-Dual Interior-Point Method for Nonlinear Programming with Strong Global and Local Convergence Properties
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+A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
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+Approximate models and robust decisions
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+Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
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+A globally convergent primal-dual interior point method for constrained optimization
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+A globally and superlinearly convergent primal-dual interior point trust region method for large scale constrained optimization
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