Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
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Publication:1935293
DOI10.1007/S10957-012-0074-XzbMATH Open1257.90089OpenAlexW2020274275MaRDI QIDQ1935293FDOQ1935293
Authors: Yanyan Li 
Publication date: 14 February 2013
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0074-x
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Cited In (12)
- Risk-return analysis. Vol. I. The theory and practice of rational investing. With contributions by Kenneth A. Blay, Anthony Tessitore, Ansel Tessitore and Nilfur Usmen. With a foreword by Stephen A. Batman
- On Conditional Risk Assessments in Scenario Optimization
- Risk and complexity in scenario optimization
- Chance-constrained problems and rare events: an importance sampling approach
- Expected shortfall: heuristics and certificates
- Scenario Min-Max Optimization and the Risk of Empirical Costs
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Partial sample average approximation method for chance constrained problems
- FAST—Fast Algorithm for the Scenario Technique
- A linear programming approach for linear programs with probabilistic constraints
- Wait-and-judge scenario optimization
- Recovery strategies from major supply disruptions in single and multiple sourcing networks
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