Inseparable robust reward-risk optimization models with distribution uncertainty

DOI10.1007/S13160-016-0230-ZMaRDI QIDQ2396920zbMATH OpenOpenAlexFDO

Authors Yijia Zhou, Li Yang, Lijun Xu, Bo Yu

Publication date 29 May 2017

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-016-0230-z

zbMATH Keywords

duality theoremrobust CVaRincomplete distributionrobust reward

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Recommendations

• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
• Distributionally robust reward-risk ratio programming with Wasserstein metric
• Multi-stage distributionally robust optimization with risk aversion
• Distributionally robust optimization with infinitely constrained ambiguity sets
• Distributionally robust optimization with decision dependent ambiguity sets
• Distributionally robust optimization and its tractable approximations
• Distributionally robust return-risk optimization models and their applications
• A note on distributionally robust optimization under moment uncertainty
• Distributionally robust goal-reaching optimization in the presence of background risk
• Frameworks and results in distributionally robust optimization

Cites work

• scientific article; zbMATH DE number 5618680 (Why is no real title available?)
• A distributional interpretation of robust optimization
• A soft robust model for optimization under ambiguity
• Coherent measures of risk
• Constructing uncertainty sets for robust linear optimization
• Credit risk optimization with conditional Value-at-Risk criterion
• Extreme Value Theory as a Risk Management Tool
• Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Portfolio optimization under lower partial risk measures
• Robust Portfolio Selection Problems
• Robust Regression and Lasso
• Robust asset allocation
• Robust reward–risk ratio optimization with application in allocation of generation asset
• Some remarks on the value-at-risk and the conditional value-at-risk
• Theory and applications of robust optimization
• Worst-case CVaR based portfolio optimization models with applications to scenario planning
• Worst-case conditional value-at-risk with application to robust portfolio management

Cited in

(4)

• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
• Uncertain portfolio optimization problem based on moment information
• Distributionally robust return-risk optimization models and their applications
• A new distributionally robust reward-risk model for portfolio optimization

This page was built for publication: Inseparable robust reward-risk optimization models with distribution uncertainty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2396920)