Pages that link to "Item:Q3519406"

The following pages link to Ambiguous Risk Measures and Optimal Robust Portfolios (Q3519406):

Displaying 49 items.

• Optimal asset allocation: risk and information uncertainty (Q322719) (← links)
• Ambiguity in risk preferences in robust stochastic optimization (Q323319) (← links)
• Minimax strategies and duality with applications in financial mathematics (Q692314) (← links)
• Robust portfolio optimization: a categorized bibliographic review (Q827129) (← links)
• Robust portfolios: contributions from operations research and finance (Q993719) (← links)
• Extending pricing rules with general risk functions (Q1044131) (← links)
• On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets (Q1621908) (← links)
• The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion (Q1622826) (← links)
• Incorporating model uncertainty into optimal insurance contract design (Q1681190) (← links)
• Identifying effective scenarios in distributionally robust stochastic programs with total variation distance (Q1717235) (← links)
• Robust decision making using a general utility set (Q1750483) (← links)
• Direct data-based decision making under uncertainty (Q1754229) (← links)
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (Q1785197) (← links)
• A framework for optimization under ambiguity (Q1931627) (← links)
• Portfolio selection under model uncertainty: a penalized moment-based optimization approach (Q1955553) (← links)
• Data-driven distributionally robust chance-constrained optimization with Wasserstein metric (Q2022288) (← links)
• Robust stochastic optimization with convex risk measures: a discretized subgradient scheme (Q2031316) (← links)
• KDE distributionally robust portfolio optimization with higher moment coherent risk (Q2070731) (← links)
• Distributionally robust optimization. A review on theory and applications (Q2074636) (← links)
• Data-driven stochastic optimization for distributional ambiguity with integrated confidence region (Q2079685) (← links)
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization (Q2089892) (← links)
• Optimality conditions for robust weak sharp efficient solutions of nonsmooth uncertain multiobjective optimization problems (Q2156706) (← links)
• Frameworks and results in distributionally robust optimization (Q2165596) (← links)
• Entropy based risk measures (Q2183329) (← links)
• Distributionally robust optimization with decision dependent ambiguity sets (Q2228422) (← links)
• Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs (Q2231326) (← links)
• Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach (Q2231329) (← links)
• Efficient formulations for pricing under attraction demand models (Q2248752) (← links)
• On solving two-stage distributionally robust disjunctive programs with a general ambiguity set (Q2312325) (← links)
• On distributionally robust multiperiod stochastic optimization (Q2355207) (← links)
• Distributions with maximum spread subject to Wasserstein distance constraints (Q2422610) (← links)
• Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models (Q2424760) (← links)
• Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (Q2832107) (← links)
• Uncertainties in minimax stochastic programs (Q3111134) (← links)
• TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION (Q3161743) (← links)
• Game Theoretical Approach for Reliable Enhanced Indexation (Q4691960) (← links)
• Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity (Q4971569) (← links)
• Worst-Case Expected Shortfall with Univariate and Bivariate Marginals (Q4995077) (← links)
• Optimal Portfolio Diversification via Independent Component Analysis (Q5031000) (← links)
• Data-Driven Optimization of Reward-Risk Ratio Measures (Q5085482) (← links)
• Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics (Q5085987) (← links)
• Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)
• Gain-loss pricing under ambiguity of measure (Q5189212) (← links)
• Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty (Q6039453) (← links)
• A distributionally ambiguous two-stage stochastic approach for investment in renewable generation (Q6046312) (← links)
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
• Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric (Q6085747) (← links)
• Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance (Q6109914) (← links)
• Portfolio selection: a target-distribution approach (Q6113329) (← links)