Risk tuning with generalized linear regression

DOI10.1287/MOOR.1080.0313MaRDI QIDQ3168990zbMATH OpenOpenAlexFDO

Authors Stan Uryasev, Michael Zabarankin, R. T. Rockafellar

Publication date 27 April 2011

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d963ce209e269ce90cc04cd6fcff1403a2aa8320

zbMATH Keywords

conditional value-at-riskdeviation measureserror measuresfactor modelslinear regressionportfolio optimizationquantile regressionrisk managementrisk measuresvalue-at-risk

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(29)

• Regression analysis: likelihood, error and entropy
• Index tracking and enhanced indexing using mixed conditional value-at-risk
• The risk inflation criterion for multiple regression
• Optimal risk sharing with general deviation measures
• Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
• On a family of coherent measures of variability
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• On the optimization properties of the correntropic loss function in data analysis
• Coherence and elicitability
• Computationally tractable counterparts of distributionally robust constraints on risk measures
• On the \(L_p\)-norm regression models for estimating value-at-risk
• The center of a convex set and capital allocation
• CVaR (superquantile) norm: stochastic case
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Random variables, monotone relations, and convex analysis
• Schur convex functionals: Fatou property and representation
• Cooperative games with general deviation measures
• Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
• Bayesian CV@R/super-quantile regression
• Insurance valuation: A two-step generalised regression approach
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES
• On data-driven chance constraint learning for mixed-integer optimization problems
• Risk budgeting portfolios: existence and computation
• Risk-averse classification
• High-Dimensional Expected Shortfall Regression
• Distributionally robust optimization
• Risk-adaptive approaches to stochastic optimization: a survey
• Superquantile efficiency frontiers

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