Distributionally robust return-risk optimization models and their applications
DOI10.1155/2014/784715zbMATH Open1442.91120DBLPjournals/jam/YangLZC14OpenAlexW2032472222WikidataQ59052348 ScholiaQ59052348MaRDI QIDQ2336705FDOQ2336705
Zhengyong Zhou, YanXi Li, Li Yang, Kejing Chen
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
Optimality conditions and duality in mathematical programming (90C46) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Semidefinite programming (90C22)
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Cited In (8)
- A survey of decision making and optimization under uncertainty
- 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
- Robust reward–risk ratio portfolio optimization
- 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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