On distributional robust probability functions and their computations

DOI10.1016/J.EJOR.2013.08.044zbMath1339.60013OpenAlexW2060003589MaRDI QIDQ297175

Man Hong Wong, Shu-Zhong Zhang

Publication date: 24 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.044

zbMATH Keywords

risk managementconic programmingdistributional robustmoment boundssemidefinite programming (SDP)

Mathematics Subject Classification ID

Semidefinite programming (90C22) Probability distributions: general theory (60E05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Copositive optimization -- recent developments and applications
• Minimizing loss probability bounds for portfolio selection
• Robust portfolio optimization with derivative insurance guarantees
• Moment bounds for truncated random variables
• How to estimate the value at risk under incomplete information
• Bounds on convex reliability functions with known first moments
• Distribution-free option pricing
• A semidefinite programming approach to the generalized problem of moments
• Maximization of the variance of a stop-loss reinsured risk
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
• Analytical best upper bounds on stop-loss premiums
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
• Computing best bounds for nonlinear risk measures with partial information
• MaxVaR with non-Gaussian distributed returns
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
• Bounding Probability of Small Deviation: A Fourth Moment Approach
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Robust Mean-Covariance Solutions for Stochastic Optimization
• TIGHT BOUNDS ON EXPECTED ORDER STATISTICS
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Multivariate Nonnegative Quadratic Mappings
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
• A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
• A Survey of the S-Lemma

This page was built for publication: On distributional robust probability functions and their computations