Statistical decision problems. Selected concepts and portfolio safeguard case studies

DOI10.1007/978-1-4614-8471-4zbMath1291.90006OpenAlexW2496925983MaRDI QIDQ2393404

Stan Uryasev, Michael Zabarankin

Publication date: 7 August 2013

Published in: Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8471-4

zbMATH Keywords

classificationportfolio choicestatistical decisionsPortfolio Safeguard

Mathematics Subject Classification ID

Decision theory (91B06) Multi-objective and goal programming (90C29) Management decision making, including multiple objectives (90B50) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Portfolio theory (91G10) General considerations in statistical decision theory (62C05)

Related Items (10)

CVaR (superquantile) norm: stochastic case ⋮ Inverse portfolio problem with coherent risk measures ⋮ Drawdown: from practice to theory and back again ⋮ Value-at-risk support vector machine: stability to outliers ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Buffered and reduced multidimensional distribution functions and their application in optimization ⋮ A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs ⋮ Buffered Probability of Exceedance: Mathematical Properties and Optimization ⋮ Regression analysis: likelihood, error and entropy ⋮ Direct data-based decision making under uncertainty

Uses Software

• Portfolio Safeguard

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