Data-Driven Optimization of Reward-Risk Ratio Measures
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Publication:5085482
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Cites work
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- A framework for optimization under ambiguity
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Ambiguity in portfolio selection
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Ambiguous chance constrained problems and robust optimization
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Data-driven chance constrained stochastic program
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Deriving robust counterparts of nonlinear uncertain inequalities
- Distributionally Robust Convex Optimization
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- On the rate of convergence in Wasserstein distance of the empirical measure
- Robust Portfolio Selection Problems
- Robust optimization made easy with ROME
- Robustifying convex risk measures for linear portfolios: a nonparametric approach
- Safety First and the Holding of Assets
- Sanov's theorem in the Wasserstein distance: a necessary and sufficient condition
- Technical note: A conic integer optimization approach to the constrained assortment problem under the mixed multinomial logit model
- Weighted Csiszár-Kullback-Pinsker inequalities and applications to transportation inequalities
- Worst-case robust Omega ratio
Cited in
(10)- A review on ambiguity in stochastic portfolio optimization
- Data-driven distributionally robust risk parity portfolio optimization
- Distributionally robust chance-constrained Markov decision processes with random payoff
- Portfolio Optimization within a Wasserstein Ball
- A new distributionally robust reward-risk model for portfolio optimization
- Partition-based distributionally robust optimization via optimal transport with order cone constraints
- A distributionally robust chance-constrained model for humanitarian relief network design
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance
- Frameworks and results in distributionally robust optimization
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