Two-stage international portfolio models with higher moment risk measures

DOI10.1016/j.cor.2023.106200OpenAlexW4323033547MaRDI QIDQ6109573

No author found.

Publication date: 4 July 2023

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2023.106200

zbMATH Keywords

decomposition methodsportfolio optimizationdual representationdynamic settingshigher moment coherent risk measures

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• A moment-matching method to generate arbitrage-free scenarios
• Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Certainty equivalent measures of risk
• Mean-VaR portfolio selection under real constraints
• Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
• \(l_1\)-regularization for multi-period portfolio selection
• On a time consistency concept in risk averse multistage stochastic programming
• Risk optimization with \(p\)-order conic constraints: a linear programming approach
• Second-order cone programming
• Multiperiod portfolio investment using stochastic programming with conditional value at risk
• Entropic value-at-risk: a new coherent risk measure
• Portfolio optimization with entropic value-at-risk
• KDE distributionally robust portfolio optimization with higher moment coherent risk
• Integrated dynamic models for hedging international portfolio risks
• Multistage optimization of option portfolio using higher order coherent risk measures
• Enhanced indexing using weighted conditional value at risk
• On \(p\)-norm linear discrimination
• A quantitative comparison of risk measures
• A dynamic stochastic programming model for international portfolio management
• Measuring risk for income streams
• Coherent Measures of Risk
• Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
• Introduction to Stochastic Programming
• Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
• Downside Loss Aversion and Portfolio Management
• A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures
• Lectures on Stochastic Programming
• Distributionally Robust Stochastic Programming
• On Solving Multistage Stochastic Programs with Coherent Risk Measures
• Optimization of Convex Risk Functions
• Higher moment coherent risk measures

This page was built for publication: Two-stage international portfolio models with higher moment risk measures