Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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Cited in
(only showing first 100 items - show all)- Multi-period portfolio optimization with linear control policies
- The submodular knapsack polytope
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches
- Recent advancements in robust optimization for investment management
- A note on distributionally robust optimization under moment uncertainty
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust trading mechanisms over 0/1 polytopes
- Robust chance-constrained support vector machines with second-order moment information
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Delegated portfolio management under ambiguity aversion
- Distributionally robust chance constrained problem under interval distribution information
- Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium
- Robust and Pareto optimality of insurance contracts
- Ambiguous risk constraints with moment and unimodality 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
- Multipolar robust optimization
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Supermodular covering knapsack polytope
- Polyhedral results for a class of cardinality constrained submodular minimization problems
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Mean-VaR portfolio optimization: a nonparametric approach
- Computing near-optimal value-at-risk portfolios using integer programming techniques
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Robust hedging strategies
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Profit oriented supply chain network optimization
- A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
- A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty
- A dynamic game approach to distributionally robust safety specifications for stochastic systems
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Exact algorithms for the chance-constrained vehicle routing problem
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- International portfolio management with affine policies
- A framework for optimization under ambiguity
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Worst-case analysis of Gini mean difference safety measure
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Robust tracking error portfolio selection with worst-case downside risk measures
- A unified model for regularized and robust portfolio optimization
- A worst-case risk measure by G-VaR
- Strong formulations for conic quadratic optimization with indicator variables
- Games with distributionally robust joint chance constraints
- Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Distributionally robust optimization. A review on theory and applications
- Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
- A multivariate Chebyshev bound of the Selberg form
- Integrating unimodality into distributionally robust optimal power flow
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
- Distributionally robust resource planning under binomial demand intakes
- Optimized Bonferroni approximations of distributionally robust joint chance constraints
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Robust international portfolio optimization with worst-case mean-CVaR
- Sparse and robust mean-variance portfolio optimization problems
- The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
- Frameworks and results in distributionally robust optimization
- Capital asset pricing model under distribution uncertainty
- Is being ``robust beneficial? A perspective from the Indian market
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Minimizing maximum cost for a single machine under uncertainty of processing times
- An augmented Lagrangian filter method
- Robust trade-off portfolio selection
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- On distributionally robust chance constrained programs with Wasserstein distance
- An almost robust model for minimizing disruption exposures in supply systems
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Reconciling mean-variance portfolio theory with non-Gaussian returns
- Distributionally robust chance constrained problems under general moments information
- Recent developments in robust portfolios with a worst-case approach
- Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
- Organizational vulnerability of digital threats: a first validation of an assessment method
- Novel robust fuzzy mathematical programming methods
- A closer look at the minimum-variance portfolio optimization model
- Distributionally robust \(L_1\)-estimation in multiple linear regression
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Robust nonlinear optimization with conic representable uncertainty set
- On the influence of robustness measures on shape optimization with stochastic uncertainties
- Robust portfolio selection with a combined WCVaR and factor model
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Distribution-robust loss-averse optimization
- Omega-CVaR portfolio optimization and its worst case analysis
- On distributionally robust chance-constrained linear programs
- Minimax estimation by probabilistic criterion
- Optimal reinsurance under dynamic VaR constraint
- Regularized robust optimization: the optimal portfolio execution case
- Robust ranking and selection with optimal computing budget allocation
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- A composite risk measure framework for decision making under uncertainty
- Lifted polymatroid inequalities for mean-risk optimization with indicator variables
- Computing best bounds for nonlinear risk measures with partial information
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Robust profit opportunities in risky financial portfolios
- 60 years of portfolio optimization: practical challenges and current trends
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