Tight bounds for some risk measures, with applications to robust portfolio selection
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Publication:3225916
DOI10.1287/OPRE.1110.0950zbMATH Open1233.91236OpenAlexW1984657403MaRDI QIDQ3225916FDOQ3225916
Authors: Li Chen, Simai He, Shuzhong Zhang 
Publication date: 26 March 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/92a91b46483b6629fe4720a28573502f9d705092
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Cited In (53)
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Robust portfolio selection based on a multi-stage scenario tree
- Distortion risk measure under parametric ambiguity
- Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Delegated portfolio management under ambiguity aversion
- On the relationship between the discrete and continuous bounding moment problems and their numerical solutions
- The worst-case discounted regret portfolio optimization problem
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Tight bounds for a class of data-driven distributionally robust risk measures
- An expected regret minimization portfolio selection model
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework
- Robust trading mechanisms over 0/1 polytopes
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Robust ranking and portfolio optimization
- Distributionally robust single machine scheduling with the total tardiness criterion
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- On distributional robust probability functions and their computations
- A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms
- Robust tracking error portfolio selection with worst-case downside risk measures
- A moment approach to bounding exotic options under regime switching
- Distribution-robust loss-averse optimization
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Good deals and benchmarks in robust portfolio selection
- Tractable robust expected utility and risk models for portfolio optimization
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Recent advances in robust optimization: an overview
- Robust portfolio optimization: a categorized bibliographic review
- Ambiguity in risk preferences in robust stochastic optimization
- Capital asset pricing model under distribution uncertainty
- A new approach for worst-case regret portfolio optimization problem
- Computing best bounds for nonlinear risk measures with partial information
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- On robust mean-variance portfolios
- Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
- Robust international portfolio optimization with worst-case mean-CVaR
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- A numerical study for robust active portfolio management with worst-case downside risk measure
- Worst-case distortion risk measure with application to robust portfolio selection
- Semidefinite programming approximation for a matrix optimization problem over an uncertain linear system
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