Data-Driven Optimization of Reward-Risk Ratio Measures

DOI10.1287/IJOC.2020.1002OpenAlexW3123788783MaRDI QIDQ5085482FDOQ5085482

Miguel A. Lejeune, Ran Ji

Publication date: 27 June 2022

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2020.1002

zbMATH Keywords

Wasserstein metricfractional programmingdistributionally robust optimizationreward-risk ratiodata-driven optimization

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Operations research, mathematical programming (90-XX)

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)