Tight bounds for some risk measures, with applications to robust portfolio selection
From MaRDI portal
Publication:3225916
Recommendations
- Robust portfolio selection under downside risk measures
- Tractable robust expected utility and risk models for portfolio optimization
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Robust portfolio selection based on a multi-stage scenario tree
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Cited in
(55)- Robust enhanced indexation optimization with sparse industry Layout constraint
- Robust portfolio selection under recovery average value at risk
- Worst-case distortion risk measure with application to robust portfolio selection
- Semidefinite programming approximation for a matrix optimization problem over an uncertain linear system
- On the heavy-tail behavior of the distributionally robust newsvendor
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Tractable robust expected utility and risk models for portfolio optimization
- Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework
- On the relationship between the discrete and continuous bounding moment problems and their numerical solutions
- The worst-case discounted regret portfolio optimization problem
- Robust portfolio selection based on a multi-stage scenario tree
- Robust tracking error portfolio selection with worst-case downside risk measures
- Tight bounds for a class of data-driven distributionally robust risk measures
- Delegated portfolio management under ambiguity aversion
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Robust trading mechanisms over 0/1 polytopes
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- An expected regret minimization portfolio selection model
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- 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
- Robust portfolio optimization: a categorized bibliographic review
- A new approach for worst-case regret portfolio optimization problem
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Computing best bounds for nonlinear risk measures with partial information
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Distortion risk measure under parametric ambiguity
- Recent advances in robust optimization: an overview
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- 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
- Robust international portfolio optimization with worst-case mean-CVaR
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
- Distribution-robust loss-averse optimization
- Optimization approaches to multiplicative tariff of rates estimation in non-life insurance
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Robust ranking and portfolio optimization
- Ambiguity in risk preferences in robust stochastic optimization
- A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
- Good deals and benchmarks in robust portfolio selection
- Capital asset pricing model under distribution uncertainty
- A relative robust approach on expected returns with bounded CVaR for portfolio selection
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Distributionally robust single machine scheduling with the total tardiness criterion
- \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty
- On distributional robust probability functions and their computations
- A moment approach to bounding exotic options under regime switching
- On robust mean-variance portfolios
This page was built for publication: Tight bounds for some risk measures, with applications to robust portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3225916)
