Portfolio Safeguard

swMATH14686MaRDI QIDQ26583FDOQ26583

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Cited In (27)

• Developing a model for a modulating mirror fixed on active supports. Deterministic problem
• Reliability optimization in plant production
• Reliability optimization method alternative to bPOE
• Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization
• Sparse signal reconstruction: LASSO and cardinality approaches
• Mathematical methods to find optimal control of oscillations of a hinged beam (deterministic case)
• Application of buffered probability of exceedance in reliability optimization problems
• Value-at-risk support vector machine: stability to outliers
• CVaR norm and applications in optimization
• Support vector machines based on convex risk functions and general norms
• Robust multi-sensor scheduling for multi-site surveillance
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
• CVaR distance between univariate probability distributions and approximation problems
• Regression analysis: likelihood, error and entropy
• Direct data-based decision making under uncertainty
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
• Shortest path network problems with stochastic arc weights
• A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• Inverse portfolio problem with coherent risk measures
• Drawdown: from practice to theory and back again
• A new method of reliability optimization in the classical problem statement
• Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
• Kantorovich-Rubinstein distance minimization: application to location problems
• Statistical decision problems. Selected concepts and portfolio safeguard case studies

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