Ambiguity in portfolio selection
From MaRDI portal
Publication:5423195
DOI10.1080/14697680701455410zbMath1190.91138OpenAlexW2166292404WikidataQ59255022 ScholiaQ59255022MaRDI QIDQ5423195
David Wozabal, Georg Ch. Pflug
Publication date: 22 October 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701455410
Related Items
Optimal portfolios in the presence of stress scenarios a worst-case approach, Learning models with uniform performance via distributionally robust optimization, Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization, Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods, Robust Risk-Aware Reinforcement Learning, A numerical method for hedging Bermudan options under model uncertainty, Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty, Distributionally robust portfolio optimization with linearized STARR performance measure, Robust Investment Management with Uncertainty in Fund Managers’ Asset Allocation, Frameworks and results in distributionally robust optimization, An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization, Optimal reinsurance with model uncertainty and Stackelberg game, Data-Driven Optimization of Reward-Risk Ratio Measures, Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics, Incorporating model uncertainty into optimal insurance contract design, Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs, A framework for optimization under ambiguity, Multi-resource allocation in stochastic project scheduling, Robustness in stochastic programs with risk constraints, Data-driven risk-averse stochastic optimization with Wasserstein metric, Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty, Optimal chance-constrained pension fund management through dynamic stochastic control, Robust design of service systems with immobile servers under demand uncertainty, A distributionally ambiguous two-stage stochastic approach for investment in renewable generation, Models and algorithms for distributionally robust least squares problems, Distributionally robust optimization with polynomial densities: theory, models and algorithms, Quantile-based risk sharing with heterogeneous beliefs, Choquet Regularization for Continuous-Time Reinforcement Learning, Portfolio Optimization within a Wasserstein Ball, A modified exchange algorithm for distributional robust optimization and applications in risk management, Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance, Distributions with maximum spread subject to Wasserstein distance constraints, Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling, Probability maximization models for portfolio selection under ambiguity, Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance, Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models, Model‐free portfolio theory: A rough path approach, Risk measures under model uncertainty: a Bayesian viewpoint, Wasserstein perturbations of Markovian transition semigroups, Robust optimization and portfolio selection: the cost of robustness, Worst-case moments under partial ambiguity, Distributionally risk‐receptive and risk‐averse network interdiction problems with general ambiguity set, Principal component analysis and optimal portfolio, Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance, Insurance pricing under ambiguity, A review on ambiguity in stochastic portfolio optimization, Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets, Identifying effective scenarios in distributionally robust stochastic programs with total variation distance, Distributionally robust optimization with multiple time scales: valuation of a thermal power plant, Primal-dual hybrid gradient method for distributionally robust optimization problems, Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs, Incorporating statistical model error into the calculation of acceptability prices of contingent claims, Decision-dependent probabilities in stochastic programs with recourse, Robust decision making using a general utility set, Recent developments in robust portfolios with a worst-case approach, Time consistent multi-period robust risk measures and portfolio selection models with regime-switching, The value of the right distribution in stochastic programming with application to a Newsvendor problem, Generalized quantiles as risk measures, Optimal XL-insurance under Wasserstein-type ambiguity, Data-driven distributionally robust chance-constrained optimization with Wasserstein metric, Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems, Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations, A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming, Game Theoretical Approach for Reliable Enhanced Indexation, Robustness of optimal portfolios under risk and stochastic dominance constraints, Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach, Wasserstein distributionally robust shortest path problem, Discrete Approximation and Quantification in Distributionally Robust Optimization, Quantifying Distributional Model Risk via Optimal Transport, Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls, Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity, A data-driven approach for a class of stochastic dynamic optimization problems, Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints, On solving two-stage distributionally robust disjunctive programs with a general ambiguity set, Distributionally robust optimization for sequential decision-making, Uncertainties in minimax stochastic programs, Data-driven stochastic optimization for distributional ambiguity with integrated confidence region, Dynamics of Data-driven Ambiguity Sets for Hyperbolic Conservation Laws with Uncertain Inputs, Bootstrap robust prescriptive analytics, On linear optimization over Wasserstein balls, A study of data-driven distributionally robust optimization with incomplete joint data under finite support, Distributionally robust resource planning under binomial demand intakes, Adjusted Rényi entropic value-at-risk, Distributionally Robust Chance Constrained Geometric Optimization, Distributionally robust optimization with moment ambiguity sets, The distributionally robust complementarity problem, On distributionally robust multiperiod stochastic optimization, Quantitative stability analysis for minimax distributionally robust risk optimization, Risk and complexity in scenario optimization, Asymptotic behavior of solutions: an application to stochastic NLP
Cites Work
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Die Geschwindigkeit der Glivenko-Cantelli Konvergenz, gemessen in der Prohorov-Metrik
- Convex measures of risk and trading constraints
- Robust optimization-methodology and applications
- Subdifferential representations of risk measures
- Risk, Ambiguity, and the Savage Axioms
- Calculation of the Wasserstein Distance Between Probability Distributions on the Line
- Monotone Operators and the Proximal Point Algorithm
- On a Class of Minimax Stochastic Programs
- On the Convergence of Successive Linear-Quadratic Programming Algorithms
- The Speed of Mean Glivenko-Cantelli Convergence
- Robust Portfolio Selection Problems