On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
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Publication:3083548
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Cites work
- A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
- A Primer in Column Generation
- A minimax portfolio selection rule with linear programming solution
- Coherent measures of risk
- Comparison methods for stochastic models and risks
- Computational aspects of minimizing conditional value-at-risk
- Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
- Conditional value at risk and related linear programming models for portfolio optimization
- Dual Stochastic Dominance and Quantile Risk Measures
- Dual Stochastic Dominance and Related Mean-Risk Models
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
- LP solvable models for portfolio optimization: a classification and computational comparison
- Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
- Multiple criteria linear programming model for portfolio selection
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- On extending the LP computable risk measures to account downside risk
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Optimization of Convex Risk Functions
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Portfolio optimization under lower partial risk measures
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- The Dual Theory of Choice under Risk
Cited in
(9)- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- LP solvable models for portfolio optimization: a classification and computational comparison
- On solving the dual for portfolio selection by optimizing conditional value at risk
- Scenario aggregation method for portfolio expectile optimization
- Tangency portfolios in the lp solvable portfolio selection models
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- scientific article; zbMATH DE number 2061975 (Why is no real title available?)
- On extending the LP computable risk measures to account downside risk
- Twenty years of linear programming based portfolio optimization
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