Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

DOI10.1287/OPRE.51.4.543.16101zbMATH Open1165.91397OpenAlexW2021472931MaRDI QIDQ3637367FDOQ3637367

Authors:

Publication date: 9 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/172fc53432c0b1b8bd3d0da1be6f9363f27cfaa9

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Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Distortion risk measure under parametric ambiguity
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• Worst-case CVaR based portfolio optimization models with applications to scenario planning
• Upper bounds for strictly concave distortion risk measures on moment spaces
• Sparse regression modeling for short- and long-term natural gas demand prediction
• Coherent worst-case value-at-risk with applications to robust portfolio optimization
• Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
• Systemic risk of optioned portfolio: controllability and optimization
• \(\alpha \)-conservative approximation for probabilistically constrained convex programs
• Asset allocation using reliability method
• Distributionally robust chance constrained problems under general moments information
• Recent advancements in robust optimization for investment management
• Robust optimization of mixed CVaR STARR ratio using copulas
• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
• An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
• Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
• Robust reward–risk ratio optimization with application in allocation of generation asset
• A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty
• Multipolar robust optimization
• A framework for optimization under ambiguity
• Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms
• A unified model for regularized and robust portfolio optimization
• A note on distributionally robust optimization under moment uncertainty
• Robust trading mechanisms over 0/1 polytopes
• Profit oriented supply chain network optimization
• A dynamic game approach to distributionally robust safety specifications for stochastic systems
• Appointment scheduling with a quantile objective
• Ambiguous risk constraints with moment and unimodality information
• Reconciling mean-variance portfolio theory with non-Gaussian returns
• Distributionally robust optimization by probability criterion for estimating a bounded signal
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
• On the influence of robustness measures on shape optimization with stochastic uncertainties
• Robust tracking error portfolio selection with worst-case downside risk measures
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• 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
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• Robustness to dependency in portfolio optimization using overlapping marginals
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• Value-at-risk based portfolio optimization
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• Optimal reinsurance under dynamic VaR constraint
• Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization
• Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium
• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
• Computing near-optimal value-at-risk portfolios using integer programming techniques
• Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
• Minimax nature of the linear estimates of the indefinite stochastic vector from the generalized probabilistic criteria
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• Supermodular covering knapsack polytope
• Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
• Distributionally robust chance constrained problem under interval distribution information
• A survey of nonlinear robust optimization
• An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
• Robust and distributionally robust optimization models for linear support vector machine
• Ambiguous joint chance constraints under mean and dispersion information
• 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
• A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
• Worst-case analysis of Gini mean difference safety measure
• Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
• Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
• Submodularity in Conic Quadratic Mixed 0–1 Optimization
• Distributionally robust resource planning under binomial demand intakes
• An augmented Lagrangian filter method
• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• Minimizing maximum cost for a single machine under uncertainty of processing times
• Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
• Distributionally robust polynomial chance-constraints under mixture ambiguity sets
• Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
• Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• Stress testing for VaR and CVaR
• Polyhedral results for a class of cardinality constrained submodular minimization problems
• Portfolio selection under model uncertainty: a penalized moment-based optimization approach
• A worst-case risk measure by G-VaR
• Robust defibrillator deployment under cardiac arrest location uncertainty via row-and-column generation
• On distributionally robust chance constrained programs with Wasserstein distance
• An almost robust model for minimizing disruption exposures in supply systems
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• A dynamic average value-at-risk portfolio model with fuzzy random variables
• Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
• Inf-convolution and optimal allocations for mixed-VaRs
• Strong formulations for conic quadratic optimization with indicator variables
• A composite risk measure framework for decision making under uncertainty
• Wasserstein distributionally robust chance-constrained program with moment information
• Robust portfolio selection with a combined WCVaR and factor model
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
• The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
• Lifted polymatroid inequalities for mean-risk optimization with indicator variables
• A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming

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