Pages that link to "Item:Q3225916"

The following pages link to Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection (Q3225916):

Displaying 50 items.

• On the relationship between the discrete and continuous bounding moment problems and their numerical solutions (Q271981) (← links)
• The worst-case discounted regret portfolio optimization problem (Q274372) (← links)
• Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity (Q287620) (← links)
• On distributional robust probability functions and their computations (Q297175) (← links)
• Good deals and benchmarks in robust portfolio selection (Q322536) (← links)
• Ambiguity in risk preferences in robust stochastic optimization (Q323319) (← links)
• An expected regret minimization portfolio selection model (Q439531) (← links)
• Robust portfolio optimization: a categorized bibliographic review (Q827129) (← links)
• Distributionally robust single machine scheduling with the total tardiness criterion (Q1628037) (← links)
• Robust trading mechanisms over 0/1 polytopes (Q1631642) (← links)
• Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718) (← links)
• Time consistent multi-period worst-case risk measure in robust portfolio selection (Q1655925) (← links)
• Delegated portfolio management under ambiguity aversion (Q1667217) (← links)
• A closed-form solution for robust portfolio selection with worst-case CVaR risk measure (Q1718537) (← links)
• A numerical study for robust active portfolio management with worst-case downside risk measure (Q1719373) (← links)
• An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution (Q1750392) (← links)
• Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances (Q1750470) (← links)
• Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (Q1754334) (← links)
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns (Q1926869) (← links)
• Robust ranking and portfolio optimization (Q1926870) (← links)
• Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads (Q1926944) (← links)
• Portfolio management with robustness in both prediction and decision: a mixture model based learning approach (Q1991930) (← links)
• Robust tracking error portfolio selection with worst-case downside risk measures (Q1994379) (← links)
• Tight bounds for a class of data-driven distributionally robust risk measures (Q2115129) (← links)
• Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework (Q2125368) (← links)
• Robust international portfolio optimization with worst-case mean-CVaR (Q2158047) (← links)
• Capital asset pricing model under distribution uncertainty (Q2165778) (← links)
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set (Q2183311) (← links)
• Recent advances in robust optimization: an overview (Q2256312) (← links)
• A new approach for worst-case regret portfolio optimization problem (Q2321628) (← links)
• Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity (Q2349605) (← links)
• Distribution-robust loss-averse optimization (Q2361137) (← links)
• Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (Q2422355) (← links)
• Computing best bounds for nonlinear risk measures with partial information (Q2442516) (← links)
• Distributionally robust multi-period portfolio selection subject to bankruptcy constraints (Q2691216) (← links)
• \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty (Q2691274) (← links)
• On robust mean-variance portfolios (Q2810108) (← links)
• Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance (Q2931167) (← links)
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula (Q2935298) (← links)
• A moment approach to bounding exotic options under regime switching (Q3145039) (← links)
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038) (← links)
• On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor (Q5031607) (← links)
• Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)
• A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms (Q5149518) (← links)
• Multivariate robust second-order stochastic dominance and resulting risk-averse optimization (Q5239081) (← links)
• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (Q5737736) (← links)
• Robust enhanced indexation optimization with sparse industry Layout constraint (Q6065610) (← links)
• Distortion risk measure under parametric ambiguity (Q6096640) (← links)
• Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens (Q6160409) (← links)
• Worst-case distortion risk measure with application to robust portfolio selection (Q6585940) (← links)