Stochastic optimization for allocation problems with shortfall risk constraints

DOI10.1002/ASMB.671MaRDI QIDQ5430355zbMATH OpenOpenAlexFDO

Authors Roberto Casarin, Monica Billio

Publication date 16 December 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.671

zbMATH Keywords

portfolio optimizationrisk misspecification errorsshortfall constraintstochastic optimizationvalue at risk

Mathematics Subject Classification ID

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(6)

• Resource allocation for contingency planning: an inexact proximal bundle method for stochastic optimization
• scientific article; zbMATH DE number 5689707 (Why is no real title available?)
• Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
• Monte Carlo within simulated annealing for integral constrained optimizations
• Robust asset allocation with conditional value at risk using the forward search
• Optimization of expected shortfall on convex sets

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