Data-Driven Optimization of Reward-Risk Ratio Measures

Cites Work

A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
Ambiguous chance constrained problems and robust optimization
Distributionally robust optimization under moment uncertainty with application to data-driven problems
On the rate of convergence in Wasserstein distance of the empirical measure
Robust Portfolio Selection Problems
Weighted Csiszár-Kullback-Pinsker inequalities and applications to transportation inequalities
Data-driven chance constrained stochastic program
An exact solution approach for portfolio optimization problems under stochastic and integer constraints
Title not available (Why is that?)
Safety First and the Holding of Assets
Worst-case robust Omega ratio
Ambiguous Risk Measures and Optimal Robust Portfolios
Ambiguity in portfolio selection
Sanov's theorem in the Wasserstein distance: a necessary and sufficient condition
Deriving robust counterparts of nonlinear uncertain inequalities
Robust optimization made easy with ROME
Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
Distributionally Robust Convex Optimization
Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
A framework for optimization under ambiguity
A distributionally robust perspective on uncertainty quantification and chance constrained programming
Technical Note—A Conic Integer Optimization Approach to the Constrained Assortment Problem Under the Mixed Multinomial Logit Model
Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
Computationally tractable counterparts of distributionally robust constraints on risk measures

Cited In (10)

A review on ambiguity in stochastic portfolio optimization
Distributionally robust chance-constrained Markov decision processes with random payoff
Data-driven distributionally robust risk parity portfolio optimization
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

Uses Software

ROME

This page was built for publication: Data-Driven Optimization of Reward-Risk Ratio Measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085482)