Worst-case distortion risk measure with application to robust portfolio selection
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Publication:6585940
DOI10.3969/J.ISSN.1001-4268.2024.01.008MaRDI QIDQ6585940FDOQ6585940
Authors: Xuechen Yan, Lu Li, Yashi Wang 
Publication date: 12 August 2024
Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)
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Cites Work
- The earth mover's distance as a metric for image retrieval
- Coherent measures of risk
- The Dual Theory of Choice under Risk
- Axiomatic characterization of insurance prices
- Tight bounds for some risk measures, with applications to robust portfolio selection
- Remarks on quantiles and distortion risk measures
- Worst-case conditional value-at-risk with application to robust portfolio management
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Stochastic finance. An introduction in discrete time.
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Robust distortion risk measures
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