Stability advances in robust portfolio optimization under parallelepiped uncertainty
From MaRDI portal
Publication:1725837
DOI10.1007/s10100-017-0508-5OpenAlexW2768613765MaRDI QIDQ1725837
Ayşe Özmen, Güray Kara, Gerhard-Wilhelm Weber
Publication date: 15 February 2019
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11250/2492740
robust optimizationrisk managementrobustness and sensitivity analysisparallelepiped uncertaintyrobust conditional value-at-risk
Related Items
Robust portfolio optimization: a categorized bibliographic review, Foundations of semialgebraic gene-environment networks, Uncertain random mean–variance–skewness models for the portfolio optimization problem, Continuous time mean–variance–utility portfolio problem and its equilibrium strategy, Collaborative airline revenue sharing game with grey demand data, Credit linked two-stage multi-objective transportation problem in rough and bi-rough environments, Optimal premium allocation under stop-loss insurance using exposure curves, Human factors in a contemporary organization, Robust optimal R&D investment under technical uncertainty in a regime-switching environment, Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model, Bertram's pairs trading strategy with bounded risk, Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management, Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange, Financing strategy selection and coordination considering risk aversion in a capital-constrained supply chain, Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis, Buffered-ranking intervals for virtual profit efficiency analysis, Robust reward–risk ratio portfolio optimization, Generalized derivatives and optimality conditions in nonconvex optimization, Developing a resilient supply chain in complex product systems through investment in reliability and cooperative contracts, Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market, A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes, A possibilistic portfolio model with fuzzy liquidity constraint, A sphere packing approach to break even and profitability analysis, Worst-case analysis of Gini mean difference safety measure, Regulation adaptive strategy and bank efficiency: a network slacks-based measure with shared resources, Bunkering policies for a fuel bunker management problem for liner shipping networks, A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI), Master production schedule using robust optimization approaches in an automobile second-tier supplier, Complex network construction of Internet finance risk, A fixed charge transportation problem with damageable items under uncertain environment, Project portfolio selection based on multi-project synergy, Optimal pension fund management under risk and uncertainty: the case study of Poland
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set
- Robust linear optimization under general norms.
- Polyhedral coherent risk measures and investment portfolio optimization
- Robust portfolios: contributions from operations research and finance
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Nonlinear optimization: Characterization of structural stability
- Semi-infinite optimization: Structure and stability of the feasible set
- Robust solutions of linear programming problems contaminated with uncertain data
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- Robust-based interactive portfolio selection problems with an uncertainty set of returns
- RMARS: robustification of multivariate adaptive regression spline under polyhedral uncertainty
- Robust asset allocation
- Robust Convex Optimization
- Constructing Risk Measures from Uncertainty Sets
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- Constructing Uncertainty Sets for Robust Linear Optimization
- Dynamic mean-variance portfolio analysis under model risk
- The Price of Robustness
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
