Worst-case conditional value-at-risk with application to robust portfolio management
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Cited in
(only showing first 100 items - show all)- Robust portfolio asset allocation and risk measures
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case range value-at-risk with partial information
- Uncertain portfolio optimization problem based on moment information
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Worst-case analysis of Gini mean difference safety measure
- A framework for measures of risk under uncertainty
- Distributionally robust optimization with polynomial robust constraints
- Conditional value-at-risk under ellipsoidal uncertainties
- Robust integrated planning for LEO satellite network design and service operations
- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Coherent risk measures and normal mixture distributions with applications in portfolio optimization
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Robust unit commitment with n-1 security criteria
- Distortion risk measure under parametric ambiguity
- Coherent worst-case value-at-risk with applications to robust portfolio optimization
- Distributionally robust scheduling on parallel machines under moment uncertainty
- A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
- Robust conditional value-at-risk optimization for asymmetrically distributed asset returns
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Multi-stage stochastic model in portfolio selection problem
- Tail variance of portfolio under generalized Laplace distribution
- In search of robust methods for multi-currency portfolio construction by value at risk
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Distributionally Robust Chance Constrained Geometric Optimization
- Minimax strategies and duality with applications in financial mathematics
- Distributionally robust optimization with moment ambiguity sets
- A robust ordered weighted averaging loss model for portfolio optimization
- Optimizing emergency supply pre-positioning for disaster relief: a two-stage distributionally robust approach
- Robustness assessment of climate policies towards carbon neutrality: a DRO-IAMS approach
- A bi-objective portfolio optimization with conditional value-at-risk
- Robust portfolio selection with distributional uncertainty and integer constraints
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Distributionally robust optimization of a newsvendor model under capital constraint and risk aversion
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Recent advancements in robust optimization for investment management
- Robust risk budgeting
- Fifty years of portfolio optimization
- Robust optimization of mixed CVaR STARR ratio using copulas
- V@R representation theorems in ambiguous frameworks
- Robust asset allocation with conditional value at risk using the forward search
- Worst-case conditional value at risk for asset liability management: a framework for general loss functions
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Inference of local regression in the presence of nuisance parameters
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Single machine scheduling with release dates: a distributionally robust approach
- Risk measures under model uncertainty: a Bayesian viewpoint
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Robust scenario-based value-at-risk optimization
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Scenario-based risk evaluation
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Robust reward–risk ratio optimization with application in allocation of generation asset
- International portfolio management with affine policies
- Worst-case distortion risk measure with application to robust portfolio selection
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- A distributionally robust approach for the two-machine permutation flow shop scheduling
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Distributionally robust single machine scheduling with risk aversion
- New exact penalty function for solving constrained finite min-max problems
- A robust-CVaR optimization approach with application to breast cancer therapy
- Robust portfolio selection under norm uncertainty
- Distributionally robust return-risk optimization models and their applications
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Robust tracking error portfolio selection with worst-case downside risk measures
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- A new distributionally robust reward-risk model for portfolio optimization
- A worst-case risk measure by G-VaR
- Distributionally robust sparse portfolio optimization model under satisfaction criterion
- Interaction between financial risk measures and machine learning methods
- Multi-loss WCVaR risk decision optimization based on weight for centralized supply problem of direct chain enterprises
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Omega-CVaR portfolio optimization and its worst case analysis
- An extreme worst-case risk measure by expectile
- Robust hedging strategies
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Robust optimization approaches for portfolio selection: a comparative analysis
- Multi-stage distributionally robust optimization with risk aversion
- Robust -support vector machine based on worst-case conditional value-at-risk minimization
- Globalized distributionally robust optimization problems under the moment-based framework
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Robust risk measurement and model risk
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Good deals and benchmarks in robust portfolio selection
- An omega portfolio model with dynamic return thresholds
- Robust omega ratio optimization using regular vines
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Robust optimization and portfolio selection: the cost of robustness
- Varying confidence levels for CVaR risk measures and minimax limits
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Inf-convolution and optimal allocations for mixed-VaRs
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