Bias, exploitation and proxies in scenario-based risk minimization

DOI10.1080/02331934.2012.684795zbMath1259.91058OpenAlexW1986175331MaRDI QIDQ3145036

Oleksandr Romanko, Helmut E. Mausser

Publication date: 13 December 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.684795

zbMATH Keywords

proxyoptimizationbiasriskexploitationscenariooptimism

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items

Robust scenario-based value-at-risk optimization, CVaR proxies for minimizing scenario-based value-at-risk

Cites Work

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• Quantifying and Correcting the Bias in Estimated Risk Measures