Data-Driven Optimization of Reward-Risk Ratio Measures (Q5085482): Difference between revisions

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

Latest revision as of 10:57, 29 July 2024

scientific article; zbMATH DE number 7548829
Language Label Description Also known as
English
Data-Driven Optimization of Reward-Risk Ratio Measures
scientific article; zbMATH DE number 7548829

    Statements

    Data-Driven Optimization of Reward-Risk Ratio Measures (English)
    0 references
    0 references
    0 references
    27 June 2022
    0 references
    data-driven optimization
    0 references
    distributionally robust optimization
    0 references
    reward-risk ratio
    0 references
    Wasserstein metric
    0 references
    fractional programming
    0 references
    0 references

    Identifiers