Robust scenario-based value-at-risk optimization
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Publication:286009
DOI10.1007/S10479-015-1822-8zbMATH Open1341.91131OpenAlexW2273410570MaRDI QIDQ286009FDOQ286009
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
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Cites Work
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- Applications of Stochastic Programming
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- A heuristic for moment-matching scenario generation
- CVaR proxies for minimizing scenario-based value-at-risk
- Some remarks on the value-at-risk and the conditional value-at-risk
- Sparse and stable Markowitz portfolios
- Worst-case conditional value-at-risk with application to robust portfolio management
- Bias, exploitation and proxies in scenario-based risk minimization
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT
- Value-at-Risk model for hazardous material transportation
- On the role of norm constraints in portfolio selection
Cited In (11)
- Title not available (Why is that?)
- 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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