Distributionally robust return-risk optimization models and their applications
DOI10.1155/2014/784715zbMATH Open1442.91120DBLPjournals/jam/YangLZC14OpenAlexW2032472222WikidataQ59052348 ScholiaQ59052348MaRDI QIDQ2336705FDOQ2336705
Authors: Li Yang, Zhengyong Zhou, Kejing Chen, YanXi Li 
Publication date: 19 November 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/784715
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Optimality conditions and duality in mathematical programming (90C46) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Semidefinite programming (90C22)
Cites Work
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- Credit risk optimization with conditional Value-at-Risk criterion
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- Twenty years of linear programming based portfolio optimization
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- Decision on nonnegative investment proportional coefficient of portfolio for risk minimization
Cited In (12)
- Equivalent form of distributed robust portfolio optimization problem based on CVaR constraint
- A survey of decision making and optimization under uncertainty
- Title not available (Why is that?)
- Data-driven distributionally robust risk parity portfolio optimization
- A robust statistical approach to select adequate error distributions for financial returns
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Inseparable robust reward-risk optimization models with distribution uncertainty
- CVaR-based robust models for portfolio selection
- Robust reward–risk ratio portfolio optimization
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Distributionally robust portfolio optimization with linearized STARR performance measure
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