Polyhedral coherent risk measure and distributionally robust portfolio optimization

DOI10.1007/s10559-023-00545-7zbMath1515.91142OpenAlexW4321612607MaRDI QIDQ6160556

V. S. Kirilyuk

Publication date: 10 May 2023

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-023-00545-7

zbMATH Keywords

portfolio optimizationpolyhedral coherent risk measurecoherent risk measuredistributionally robust optimizationconditional value-at-risk (CVaR)deviation measureambiguity setoptimized certainty equivalent

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• Risk measures in stochastic programming and robust optimization problems
• Convex measures of risk and trading constraints
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Risk measures in the form of infimal convolution
• Distributionally robust optimization. A review on theory and applications
• Polyhedral coherent risk measures and robust optimization
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Generalized deviations in risk analysis
• The class of polyhedral coherent risk measures
• Coherent Measures of Risk
• Distributionally Robust Convex Optimization
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Lectures on Stochastic Programming
• Distributionally Robust Stochastic Programming
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Convex Analysis

This page was built for publication: Polyhedral coherent risk measure and distributionally robust portfolio optimization