Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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Publication:3637367
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- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
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- The distributionally robust chance-constrained vehicle routing problem
- Submodularity in Conic Quadratic Mixed 0–1 Optimization
- Wasserstein distributionally robust chance-constrained program with moment information
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- Stress testing for VaR and CVaR
- An augmented Lagrangian filter method
- Polyhedral results for a class of cardinality constrained submodular minimization problems
- Minimizing maximum cost for a single machine under uncertainty of processing times
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- Minimax estimation by probabilistic criterion
- A unified model for regularized and robust portfolio optimization
- Robust and distributionally robust optimization models for linear support vector machine
- Recent advancements in robust optimization for investment management
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Robustness to dependency in portfolio optimization using overlapping marginals
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- A note on distributionally robust optimization under moment uncertainty
- Robust trading mechanisms over 0/1 polytopes
- Omega-CVaR portfolio optimization and its worst case analysis
- Value-at-risk based portfolio optimization
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Robust optimization of mixed CVaR STARR ratio using copulas
- 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 survey of nonlinear robust optimization
- Multipolar robust optimization
- Distributionally robust optimization by probability criterion for estimating a bounded signal
- Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
- Profit oriented supply chain network optimization
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- A dynamic game approach to distributionally robust safety specifications for stochastic systems
- Conditional value-at-risk approximation to value-at-risk constrained programs: a remedy via Monte Carlo
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Distortion risk measure under parametric ambiguity
- Ambiguous joint chance constraints under mean and dispersion information
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust portfolios that do not tilt factor exposure
- Novel robust fuzzy mathematical programming methods
- A framework for optimization under ambiguity
- 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
- Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization
- Robust worst-case optimal investment
- A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty
- Supermodular covering knapsack polytope
- Computing near-optimal value-at-risk portfolios using integer programming techniques
- Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium
- \(\alpha \)-conservative approximation for probabilistically constrained convex programs
- Asset allocation using reliability method
- 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
- Appointment scheduling with a quantile objective
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