Distributionally robust return-risk optimization models and their applications

DOI10.1155/2014/784715zbMath1442.91120DBLPjournals/jam/YangLZC14OpenAlexW2032472222WikidataQ59052348 ScholiaQ59052348MaRDI QIDQ2336705

Zhengyong Zhou, Li Yang, 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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Semidefinite programming (90C22) Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10)

Related Items (3)

Robust reward–risk ratio portfolio optimization ⋮ A survey of decision making and optimization under uncertainty ⋮ Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse

Uses Software

• SDPT3

Cites Work

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• Solving semidefinite-quadratic-linear programs using SDPT3
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• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Theory and Applications of Robust Optimization
• Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
• Tail mean and related robust solution concepts
• Credit risk optimization with conditional Value-at-Risk criterion

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