Worst-case conditional value-at-risk with application to robust portfolio management
From MaRDI portal
Publication:3100415
DOI10.1287/OPRE.1080.0684zbMATH Open1233.91254OpenAlexW2118856090MaRDI QIDQ3100415FDOQ3100415
Authors: Masao Fukushima, Shushang Zhu 
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
Recommendations
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- Coherent worst-case value-at-risk with applications to robust portfolio optimization
- Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
Cited In (only showing first 100 items - show all)
- Worst-case analysis of Gini mean difference safety measure
- 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
- Robust conditional value-at-risk optimization for asymmetrically distributed asset returns
- 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
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Tail variance of portfolio under generalized Laplace distribution
- In search of robust methods for multi-currency portfolio construction by value at risk
- Recent advancements in robust optimization for investment management
- Robust risk budgeting
- Robust optimization of mixed CVaR STARR ratio using copulas
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Scenario-based risk evaluation
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Distributionally robust single machine scheduling with risk aversion
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Omega-CVaR portfolio optimization and its worst case analysis
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Multi-stage distributionally robust optimization with risk aversion
- Disruption Risk Mitigation in Supply Chains: The Risk Exposure Index Revisited
- Robust omega ratio optimization using regular vines
- Inf-convolution and optimal allocations for mixed-VaRs
- Robustness to dependency in portfolio optimization using overlapping marginals
- A composite risk measure framework for decision making under uncertainty
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Robust assortment optimization using worst-case CVaR under the multinomial logit model
- Robust portfolio selection with a combined WCVaR and factor model
- Title not available (Why is that?)
- Optimal robust insurance with a finite uncertainty set
- Optimal reinsurance under dynamic VaR constraint
- COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION
- A sparse chance constrained portfolio selection model with multiple constraints
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties
- Robust multicriteria risk-averse stochastic programming models
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Sparse and robust mean-variance portfolio optimization problems
- Improved algorithms for computing worst value-at-risk
- Target-based distributionally robust optimization for single machine scheduling
- Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Simulation methods for robust risk assessment and the distorted mix approach
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- Robust optimization for the newsvendor problem with discrete demand
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- Robust unit commitment with \(n-1\) security criteria
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Minimax strategies and duality with applications in financial mathematics
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Robust scenario-based value-at-risk optimization
- Robust reward–risk ratio optimization with application in allocation of generation asset
- 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
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- 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 tracking error portfolio selection with worst-case downside risk measures
- Interaction between financial risk measures and machine learning methods
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Robust hedging strategies
- Robust \(\nu \)-support vector machine based on worst-case conditional value-at-risk minimization
- Robust risk measurement and model risk
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Good deals and benchmarks in robust portfolio selection
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Varying confidence levels for CVaR risk measures and minimax limits
- Robust optimization and portfolio selection: the cost of robustness
- Recent advances in robust optimization: an overview
- Stability analysis of portfolio management with conditional value-at-risk
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Robust portfolios: contributions from operations research and finance
- Robust portfolio optimization: a categorized bibliographic review
- Robust and Pareto optimality of insurance contracts
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Capital asset pricing model under distribution uncertainty
- The convergence of set-valued scenario approach for downside risk minimization
- Worst-Case Range Value-at-Risk with Partial Information
- Expected shortfall: heuristics and certificates
- Optimizing (\(s, S\)) policies for multi-period inventory models with demand distribution uncertainty: robust dynamic programing approaches
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- The distributionally robust machine scheduling problem with job selection and sequence-dependent setup times
- Optimal reinsurance under risk and uncertainty
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Robust risk management
Uses Software
This page was built for publication: Worst-case conditional value-at-risk with application to robust portfolio management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100415)
