Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
From MaRDI portal
Publication:5136075
DOI10.1287/ijoc.2017.0790OpenAlexW2606727863MaRDI QIDQ5136075
Stein W. Wallace, Jamie Fairbrother, Amanda G. Turner
Publication date: 25 November 2020
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.04935
Related Items
Special issue: topics in stochastic programming, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- The practice of portfolio replication. A practical overview of forward and inverse problems
- A heuristic for moment-matching scenario generation
- A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
- Portfolio optimization with linear and fixed transaction costs
- Assessing solution quality in stochastic programs
- Coherent Measures of Risk
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- Optimal Budget Allocation for Sample Average Approximation
- The Linear Complementarity Problem
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Stability analysis of portfolio management with conditional value-at-risk
- Algorithm for finding a general formula for the non-negative solutions of a system of linear inequalities