Worst-case conditional value-at-risk with application to robust portfolio management
From MaRDI portal
Publication:3100415
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)- Optimal robust insurance with a finite uncertainty set
- Stability advances in robust portfolio optimization under parallelepiped uncertainty
- Inf-convolution and optimal allocations for mixed-VaRs
- Coherent worst-case value-at-risk with applications to robust portfolio optimization
- Tail variance of portfolio under generalized Laplace distribution
- In search of robust methods for multi-currency portfolio construction by value at risk
- Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse
- Scenario-based risk evaluation
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- 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
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Recent advancements in robust optimization for investment management
- Robust risk budgeting
- Robustness to dependency in portfolio optimization using overlapping marginals
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Distributionally robust single machine scheduling with risk aversion
- Omega-CVaR portfolio optimization and its worst case analysis
- Robust portfolio selection with a combined WCVaR and factor model
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Distributionally robust scheduling on parallel machines under moment uncertainty
- Robust optimization of mixed CVaR STARR ratio using copulas
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem
- A sparse chance constrained portfolio selection model with multiple constraints
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Multi-stage distributionally robust optimization with risk aversion
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Worst-case analysis of Gini mean difference safety measure
- A composite risk measure framework for decision making under uncertainty
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Sparse and robust mean-variance portfolio optimization problems
- A worst-case risk measure by G-VaR
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Distortion risk measure under parametric ambiguity
- Worst-case range value-at-risk with partial information
- Robust omega ratio optimization using regular vines
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- Robust optimization for the newsvendor problem with discrete demand
- Robust assortment optimization using worst-case CVaR under the multinomial logit model
- Coherent risk measures and normal mixture distributions with applications in portfolio optimization
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Improved algorithms for computing worst value-at-risk
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Simulation methods for robust risk assessment and the distorted mix approach
- Optimal reinsurance under dynamic VaR constraint
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Effect of risk attitude on outsourcing leadership preferences with demand uncertainty
- Robust conditional value-at-risk optimization for asymmetrically distributed asset returns
- scientific article; zbMATH DE number 6264081 (Why is no real title available?)
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Robust risk measurement and model risk
- Recent developments in robust portfolios with a worst-case approach
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Varying confidence levels for CVaR risk measures and minimax limits
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- Robust tracking error portfolio selection with worst-case downside risk measures
- Robust portfolio optimization with copulas
- 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
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Robust scenario-based value-at-risk optimization
- Pricing Toll Roads under Uncertainty
- Expected shortfall: heuristics and certificates
- Optimizing (\(s, S\)) policies for multi-period inventory models with demand distribution uncertainty: robust dynamic programing approaches
- Robust reward–risk ratio optimization with application in allocation of generation asset
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Convergence analysis for distributionally robust optimization and equilibrium problems
- 60 years of portfolio optimization: practical challenges and current trends
- Twenty years of linear programming based portfolio optimization
- Worst-case robust Omega ratio
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Multi-resource allocation in stochastic project scheduling
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust portfolio optimization: a categorized bibliographic review
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- SDP reformulation for robust optimization problems based on nonconvex QP duality
- Robust \(\nu \)-support vector machine based on worst-case conditional value-at-risk minimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust optimization and portfolio selection: the cost of robustness
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Recent advances in robust optimization: an overview
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Data-driven robust chance constrained problems: a mixture model approach
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- A conic programming approach for robust portfolio optimization problems
- Robust international portfolio optimization with worst-case mean-CVaR
- Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns
- Interaction between financial risk measures and machine learning methods
- Risk analysis of a pay to delay capacity reservation contract
- The distributionally robust machine scheduling problem with job selection and sequence-dependent setup times
- Stability analysis of portfolio management with conditional value-at-risk
- Robustness in the optimization of risk measures
- Minimax strategies and duality with applications in financial mathematics
- Robust and Pareto optimality of insurance contracts
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)
