Two-stage portfolio optimization with higher-order conditional measures of risk

DOI10.1007/S10479-014-1768-2zbMath1319.91144OpenAlexW2021217552MaRDI QIDQ492815

Sıtkı Gülten, Ruszczyński, Andrzej

Publication date: 21 August 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1768-2

zbMATH Keywords

stochastic programmingportfolio optimizationriskcoherent measures of riskscenario tree generation

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (7)

Long run risk sensitive portfolio with general factors ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Risk forms: representation, disintegration, and application to partially observable two-stage systems ⋮ Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty ⋮ Time-consistent approximations of risk-averse multistage stochastic optimization problems ⋮ Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse

Uses Software

• k-means++

Cites Work

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