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)

Cited In (only showing first 100 items - show all)

• Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
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• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Distortion risk measure under parametric ambiguity
• Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
• 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
• 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
• 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
• Polyhedral results for a class of cardinality constrained submodular minimization problems
• 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
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• Portfolio selection under model uncertainty: a penalized moment-based optimization approach
• Novel robust fuzzy mathematical programming methods
• Omega-CVaR portfolio optimization and its worst case analysis
• 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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• Robust worst-case optimal investment
• An almost robust model for minimizing disruption exposures in supply systems
• A distributionally robust perspective on uncertainty quantification and chance constrained programming
• Minimax estimation by probabilistic criterion
• Robustness to dependency in portfolio optimization using overlapping marginals
• Time consistent multi-period worst-case risk measure in robust portfolio selection
• Robust and Pareto optimality of insurance contracts
• Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
• Capital asset pricing model under distribution uncertainty
• Value-at-risk based portfolio optimization
• Cardinality-constrained distributionally robust portfolio optimization
• 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
• 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
• 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
• Polymatroids and mean-risk minimization in discrete optimization
• Robust portfolio selection under downside risk measures
• Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
• Delegated portfolio management under ambiguity aversion
• A successive SDP-NSDP approach to a robust optimization problem in finance
• Robust chance-constrained support vector machines with second-order moment information
• Moment Problem and Its Applications to Risk Assessment
• Distributionally robust \(L_1\)-estimation in multiple linear regression
• Robust portfolio selection with uncertain exit time using worst-case VaR strategy
• Evacuation transportation planning under uncertainty: A robust optimization approach
• Robust reward–risk ratio optimization with application in allocation of generation asset
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• International portfolio management with affine policies
• A concave optimization-based approach for sparse portfolio selection
• Selected topics in robust convex optimization
• General robust-optimization formulation for nonlinear programming
• Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
• A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Data-driven chance constrained stochastic program
• A robust-CVaR optimization approach with application to breast cancer therapy
• On distributional robust probability functions and their computations
• Robust portfolio selection under norm uncertainty
• Robust profit opportunities in risky financial portfolios
• Robust tracking error portfolio selection with worst-case downside risk measures
• A robust optimization approach to dispatching technicians under stochastic service times
• Using financial risk measures for analyzing generalization performance of machine learning models
• Data-driven portfolio management with quantile constraints
• Minimizing loss probability bounds for portfolio selection
• Multi-period portfolio optimization with linear control policies
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
• Robust portfolio optimization with derivative insurance guarantees
• Robust hedging strategies

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