Inseparable robust reward-risk optimization models with distribution uncertainty
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Publication:2396920
DOI10.1007/S13160-016-0230-ZzbMATH Open1370.90184OpenAlexW2549043129MaRDI QIDQ2396920FDOQ2396920
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
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Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Cites Work
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- Robust asset allocation
- Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
- Extreme Value Theory as a Risk Management Tool
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- Robust Regression and Lasso
- Robust reward–risk ratio optimization with application in allocation of generation asset
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- A distributional interpretation of robust optimization
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