Robust scenario-based value-at-risk optimization

DOI10.1007/S10479-015-1822-8MaRDI QIDQ286009zbMATH OpenOpenAlexFDO

Authors Oleksandr Romanko, Helmut Mausser

Publication date 19 May 2016

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-015-1822-8

zbMATH Keywords

optimizationalgorithmsrobustnessrisk managementvalue-at-risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• A heuristic for moment-matching scenario generation
• Applications of Stochastic Programming
• Bias, exploitation and proxies in scenario-based risk minimization
• CVaR proxies for minimizing scenario-based value-at-risk
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Enterprise risk management: a DEA VaR approach in vendor selection
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• On the role of norm constraints in portfolio selection
• SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT
• Some remarks on the value-at-risk and the conditional value-at-risk
• Sparse and stable Markowitz portfolios
• Value-at-Risk model for hazardous material transportation
• Worst-case conditional value-at-risk with application to robust portfolio management

Cited in

(11)

• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• A survey of decision making and optimization under uncertainty
• Value at risk for confidence level quantifications in robust engineering optimization
• Portfolio optimization with \(pw\)-robustness
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
• NORTA for portfolio credit risk
• CVaR proxies for minimizing scenario-based value-at-risk
• Value-at-risk optimization using the difference of convex algorithm
• Sparse and robust mean-variance portfolio optimization problems
• Empirical tail risk management with model-based annealing random search
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization

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