Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach

DOI10.1007/S10589-015-9755-3MaRDI QIDQ902084zbMATH OpenOpenAlexFDO

Authors Akiko Takeda, Dimitris Bertsimas

Publication date 7 January 2016

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1721.1/103345

zbMATH Keywords

binary classificationportfolio optimizationrobust optimizationnonconvexitycoherent risk measure minimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Minimax problems in mathematical programming (90C47) Mixed integer programming (90C11)

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Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A unified classification model based on robust optimization
• Coherent measures of risk
• Constructing Risk Measures from Uncertainty Sets
• Constructing uncertainty sets for robust linear optimization
• Interaction between financial risk measures and machine learning methods
• On generalization performance and non-convex optimization of extended \(\nu \)-support vector machine
• On the role of norm constraints in portfolio selection
• Optimization of Convex Risk Functions
• Pattern recognition and machine learning.
• Sparse and stable Markowitz portfolios
• Support-vector networks

Cited in

(3)

• Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
• Integer programming approaches in mean-risk models
• An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures

Describes a project that uses

Uses Software

• PRMLT
• UCI

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