Statistical decision problems. Selected concepts and portfolio safeguard case studies

DOI10.1007/978-1-4614-8471-4MaRDI QIDQ2393404zbMATH OpenOpenAlexFDO

Authors Michael Zabarankin, Stan Uryasev

Publication date 7 August 2013

Published in Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-8471-4

zbMATH Keywords

classificationportfolio choicePortfolio Safeguardstatistical decisions

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) General considerations in statistical decision theory (62C05) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Management decision making, including multiple objectives (90B50) Multi-objective and goal programming (90C29) Decision theory (91B06) Portfolio theory (91G10)

Recommendations

• Problems in portfolio theory and the fundamentals of financial decision making
• Risk and portfolio analysis. Principles and methods.
• Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
• Lectures on Stochastic Programming
• Risk and asset allocation.

Cited in

(12)

• Drawdown: from practice to theory and back again
• Regression analysis: likelihood, error and entropy
• Direct data-based decision making under uncertainty
• Financial modeling with Crystal Ball and Excel
• CVaR (superquantile) norm: stochastic case
• Inverse portfolio problem with coherent risk measures
• Value-at-risk support vector machine: stability to outliers
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
• Buffered and reduced multidimensional distribution functions and their application in optimization
• Risk-adaptive approaches to stochastic optimization: a survey

Describes a project that uses

Uses Software

• Portfolio Safeguard

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