Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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Publication:3637367
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(only showing first 100 items - show all)- Robust portfolio asset allocation and risk measures
- Ambiguous joint chance constraints under mean and dispersion information
- Distributionally robust optimization with infinitely constrained ambiguity sets
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market
- Polymatroids and mean-risk minimization in discrete optimization
- Worst-case analysis of Gini mean difference safety measure
- A framework for measures of risk under uncertainty
- A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
- Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
- Optimal portfolio diversification via independent component analysis
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Robust portfolio selection under downside risk measures
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Distributionally robust resource planning under binomial demand intakes
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Simplex QP-based methods for minimizing a conic quadratic objective over polyhedra
- An augmented Lagrangian filter method
- Submodularity in Conic Quadratic Mixed 0–1 Optimization
- Distortion risk measure under parametric ambiguity
- Coherent worst-case value-at-risk with applications to robust portfolio optimization
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Sparse regression modeling for short- and long-term natural gas demand prediction
- Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
- Delegated portfolio management under ambiguity aversion
- Distributionally Robust Chance Constrained Geometric Optimization
- \(\alpha \)-conservative approximation for probabilistically constrained convex programs
- Asset allocation using reliability method
- Systemic risk of optioned portfolio: controllability and optimization
- Optimizing emergency supply pre-positioning for disaster relief: a two-stage distributionally robust approach
- Distributionally robust chance constrained problems under general moments information
- Minimizing maximum cost for a single machine under uncertainty of processing times
- Uncertainty quantification for Markov random fields
- A successive SDP-NSDP approach to a robust optimization problem in finance
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- Robust chance-constrained support vector machines with second-order moment information
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Recent advancements in robust optimization for investment management
- Robust optimization of mixed CVaR STARR ratio using copulas
- Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
- Distributionally robust \(L_1\)-estimation in multiple linear regression
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Risk measures under model uncertainty: a Bayesian viewpoint
- A robust BFGS algorithm for unconstrained nonlinear optimization problems
- Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints
- Evacuation transportation planning under uncertainty: A robust optimization approach
- Moment Problem and Its Applications to Risk Assessment
- Optimization under decision-dependent uncertainty
- 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
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty
- International portfolio management with affine policies
- Selected topics in robust convex optimization
- Worst-case distortion risk measure with application to robust portfolio selection
- Multipolar robust optimization
- General robust-optimization formulation for nonlinear programming
- A concave optimization-based approach for sparse portfolio selection
- A framework for optimization under ambiguity
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
- A note on distributionally robust optimization under moment uncertainty
- Robust trading mechanisms over 0/1 polytopes
- A unified model for regularized and robust portfolio optimization
- Bicriteria approximation of chance-constrained covering problems
- A computational study on robust portfolio selection based on a joint ellipsoidal uncertainty set
- Profit oriented supply chain network optimization
- A dynamic game approach to distributionally robust safety specifications for stochastic systems
- Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Distributionally robust chance-constrained Markov decision processes with random payoff
- Polyhedral results for a class of cardinality constrained submodular minimization problems
- Ambiguous risk constraints with moment and unimodality information
- Appointment scheduling with a quantile objective
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Data-driven chance constrained stochastic program
- HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
- Reconciling mean-variance portfolio theory with non-Gaussian returns
- Stress testing for VaR and CVaR
- 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 multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Distributionally robust reinsurance with expectile
- Distributionally robust optimization by probability criterion for estimating a bounded signal
- Robust profit opportunities in risky financial portfolios
- Robust tracking error portfolio selection with worst-case downside risk measures
- Robust nonlinear optimization with conic representable uncertainty set
- A robust optimization approach to dispatching technicians under stochastic service times
- On the influence of robustness measures on shape optimization with stochastic uncertainties
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- Using financial risk measures for analyzing generalization performance of machine learning models
- A new distributionally robust reward-risk model for portfolio optimization
- A worst-case risk measure by G-VaR
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