Distributionally robust return-risk optimization models and their applications
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Publication:2336705
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Cites work
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- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(12)- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Data-driven distributionally robust risk parity portfolio optimization
- scientific article; zbMATH DE number 7708787 (Why is no real title available?)
- Distributionally robust portfolio optimization with linearized STARR performance measure
- A robust statistical approach to select adequate error distributions for financial returns
- CVaR-based robust models for portfolio selection
- Inseparable robust reward-risk optimization models with distribution uncertainty
- Equivalent form of distributed robust portfolio optimization problem based on CVaR constraint
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Robust reward–risk ratio portfolio optimization
- A survey of decision making and optimization under uncertainty
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