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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• Stress testing for VaR and CVaR
• Polyhedral results for a class of cardinality constrained submodular minimization problems
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• On distributionally robust chance constrained programs with Wasserstein distance
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