Worst-case conditional value-at-risk with application to robust portfolio management
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Publication:3100415
DOI10.1287/OPRE.1080.0684zbMATH Open1233.91254OpenAlexW2118856090MaRDI QIDQ3100415FDOQ3100415
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.1080.0684
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- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- On the application of an augmented Lagrangian algorithm to some portfolio problems
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- International portfolio management with affine policies
- Robustness in the Optimization of Risk Measures
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
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- 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
- Robust ν-support vector machine based on worst-case conditional value-at-risk minimization
- Robust tracking error portfolio selection with worst-case downside risk measures
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- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
- Risk analysis of a pay to delay capacity reservation contract
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- Robust portfolio optimization with copulas
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- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Data-driven robust chance constrained problems: a mixture model approach
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- 60 years of portfolio optimization: practical challenges and current trends
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
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- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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- Dynamic CVaR portfolio construction with attention-powered generative factor learning
- Worst-case analysis of Gini mean difference safety measure
- Multi-Loss WCVaR Risk Decision Optimization Based On Weight for Centralized Supply Problem of Direct Chain Enterprises
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- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Distortion risk measure under parametric ambiguity
- Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
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- A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
- Multi-stage stochastic model in portfolio selection problem
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Distributionally Robust Chance Constrained Geometric Optimization
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- Tail variance of portfolio under generalized Laplace distribution
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- Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
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