Constructing Risk Measures from Uncertainty Sets
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Publication:3100413
DOI10.1287/OPRE.1080.0683zbMATH Open1233.91153OpenAlexW2155511751MaRDI QIDQ3100413FDOQ3100413
Dessislava A. Pachamanova, Melvyn Sim, Karthik Natarajan
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1080.0683
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- scientific article; zbMATH DE number 2080683
- Set-valued loss-based risk measures
- Certainty equivalents as risk measures
- Dynamic risk measures under model uncertainty
- The method of risk measuring based on set-valued Choquet integrals
- Evaluating multifactor risks under conceptual uncertainty
- Weak measurability and characterizations of risk
Applications of mathematical programming (90C90) Sensitivity, stability, parametric optimization (90C31)
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- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- On the dual representation of coherent risk measures
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- Distributionally robust optimization with polynomial densities: theory, models and algorithms
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- Two-stage stochastic linear programs with incomplete information on uncertainty
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- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- A composite risk measure framework for decision making under uncertainty
- Recent advances in robust optimization: an overview
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- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Acceptable set topic modeling
- Recent developments in robust portfolios with a worst-case approach
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
- Almost robust discrete optimization
- Frameworks and results in distributionally robust optimization
- Robust optimization for the newsvendor problem with discrete demand
- A Brief Overview of Interdiction and Robust Optimization
- A new distributionally robust reward-risk model for portfolio optimization
- A practical guide to robust portfolio optimization
- Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets
- Distributionally robust portfolio optimization with linearized STARR performance measure
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