Constructing Risk Measures from Uncertainty Sets
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- scientific article; zbMATH DE number 2080683
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- A survey of decision making and optimization under uncertainty
- Recent developments in robust portfolios with a worst-case approach
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- Robust investment decisions under supply disruption in petroleum markets
- Robust assortment optimization using worst-case CVaR under the multinomial logit model
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Optimal reinsurance under dynamic VaR constraint
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- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
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- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
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- Two-stage stochastic linear programs with incomplete information on uncertainty
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- A robust asset-liability management framework for investment products with guarantees
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
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- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Stochastic linear programming with a distortion risk constraint
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- Risk-averse two-stage stochastic program with distributional ambiguity
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- Finding minimum volume circumscribing ellipsoids using generalized copositive programming
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- Distributionally robust optimization for sequential decision-making
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- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem
- Robust reward–risk ratio portfolio optimization
- A new distributionally robust reward-risk model for portfolio optimization
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Almost robust discrete optimization
- Feasibility conditions of robust portfolio solutions with single and combined uncertainties
- Distributionally robust optimization
- Distributionally robust optimal allocation of financial assets under the uncertainty and irrationality
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- Assortment planning under spectral risk measures
- Robust portfolio optimization: a categorized bibliographic review
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
- Manufacturer cooperation in supplier development under risk
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