Preference robust models in multivariate utility-based shortfall risk minimization
From MaRDI portal
Recommendations
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Distributionally robust shortfall risk optimization model and its approximation
- Statistical robustness in utility preference robust optimization models
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Set-valued shortfall and divergence risk measures
Cites work
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- A General Qualitative Definition of Robustness
- A robust-CVaR optimization approach with application to breast cancer therapy
- A unified approach to systemic risk measures via acceptance sets
- Ambiguity in risk preferences in robust stochastic optimization
- An Application of Error Bounds for Convex Programming in a Linear Space
- Approximations for Probability Distributions and Stochastic Optimization Problems
- Coherent measures of risk
- Comparative and qualitative robustness for law-invariant risk measures
- Convergence analysis for mathematical programs with distributionally robust chance constraint
- Convex measures of risk and trading constraints
- Entropic value-at-risk: a new coherent risk measure
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Qualitative and infinitesimal robustness of tail-dependent statistical functionals
- Relations between Weak and Uniform Convergence of Measures with Applications
- Robust Statistics
- Robust Statistics
- Robust multiobjective optimization \& applications in portfolio optimization
- Robust portfolio selection under downside risk measures
- Some remarks on the value-at-risk and the conditional value-at-risk
- Stochastic root finding and efficient estimation of convex risk measures
Cited in
(7)- Statistical robustness in utility preference robust optimization models
- Bi-attribute utility preference robust optimization: a continuous piecewise linear approximation approach
- Risk measures under model uncertainty: a Bayesian viewpoint
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Preference ambiguity and robustness in multistage decision making
- Distributionally robust shortfall risk optimization model and its approximation
This page was built for publication: Preference robust models in multivariate utility-based shortfall risk minimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5038439)
