A composite risk measure framework for decision making under uncertainty

DOI10.1007/s40305-018-0211-9zbMath1424.90141arXiv1501.01126OpenAlexW2962954426WikidataQ129515512 ScholiaQ129515512MaRDI QIDQ2422609

Zizhuo Wang, Peng-Yu Qian, ZaiWen Wen

Publication date: 20 June 2019

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.01126

zbMATH Keywords

stochastic programmingportfolio managementrisk management

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

Related Items (3)

A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Frameworks and results in distributionally robust optimization ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Uses Software

• BayesDA
• RiskMetrics

Cites Work

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