Pages that link to "Item:Q3100415"
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The following pages link to Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (Q3100415):
Displayed 50 items.
- On the application of an augmented Lagrangian algorithm to some portfolio problems (Q285925) (← links)
- Robust scenario-based value-at-risk optimization (Q286009) (← links)
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity (Q287620) (← links)
- A robust-CVaR optimization approach with application to breast cancer therapy (Q296907) (← links)
- Robust portfolio selection under norm uncertainty (Q300545) (← links)
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341) (← links)
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015) (← links)
- Good deals and benchmarks in robust portfolio selection (Q322536) (← links)
- The convergence of set-valued scenario approach for downside risk minimization (Q328216) (← links)
- SDP reformulation for robust optimization problems based on nonconvex QP duality (Q354630) (← links)
- Robust optimization and portfolio selection: the cost of robustness (Q421549) (← links)
- Robust portfolio selection involving options under a ``marginal+joint'' ellipsoidal uncertainty set (Q425328) (← links)
- Scenario-based portfolio selection of investment projects with incomplete probability and utility information (Q439347) (← links)
- Robust unit commitment with \(n-1\) security criteria (Q530420) (← links)
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection (Q666996) (← links)
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems (Q683724) (← links)
- Minimax strategies and duality with applications in financial mathematics (Q692314) (← links)
- New exact penalty function for solving constrained finite min-max problems (Q764635) (← links)
- A sparse chance constrained portfolio selection model with multiple constraints (Q785634) (← links)
- Robust portfolio optimization: a categorized bibliographic review (Q827129) (← links)
- Portfolio selection with uncertain exit time: a robust CVaR approach (Q844601) (← links)
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (Q979251) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach (Q1043348) (← links)
- Recent advancements in robust optimization for investment management (Q1621905) (← links)
- Robust risk budgeting (Q1621907) (← links)
- Data-driven robust chance constrained problems: a mixture model approach (Q1626548) (← links)
- Robust optimization of mixed CVaR STARR ratio using copulas (Q1631418) (← 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)
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
- Robust and Pareto optimality of insurance contracts (Q1683105) (← links)
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties (Q1694953) (← links)
- Robust multicriteria risk-averse stochastic programming models (Q1698287) (← links)
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure (Q1718537) (← links)
- Robust optimization for the newsvendor problem with discrete demand (Q1721086) (← links)
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models (Q1725616) (← links)
- Stability advances in robust portfolio optimization under parallelepiped uncertainty (Q1725837) (← links)
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse (Q1730448) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- Index tracking and enhanced indexing using mixed conditional value-at-risk (Q1743942) (← 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)
- Distributionally robust single machine scheduling with risk aversion (Q1752194) (← links)
- Optimizing (\(s, S\)) policies for multi-period inventory models with demand distribution uncertainty: robust dynamic programing approaches (Q1753637) (← links)
- Expected shortfall: heuristics and certificates (Q1754277) (← links)
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (Q1754334) (← links)
- Robust hedging strategies (Q1761191) (← links)
- Effect of risk attitude on outsourcing leadership preferences with demand uncertainty (Q1800308) (← links)
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns (Q1926869) (← links)