Tractable robust expected utility and risk models for portfolio optimization
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Cites work
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- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Existence of an Equilibrium for a Competitive Economy
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- scientific article; zbMATH DE number 3106184 (Why is no real title available?)
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- Persistency model and its applications in choice modeling
- Robust asset allocation
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- Worst-case scenario portfolio optimization: a new stochastic control approach
Cited in
(57)- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Distributionally robust chance constrained problem under interval distribution information
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Robust ranking and portfolio optimization
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- Portfolio optimization with optimal expected utility risk measures
- KDE distributionally robust portfolio optimization with higher moment coherent risk
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- On the relationship between the discrete and continuous bounding moment problems and their numerical solutions
- Joint planning of energy storage and transmission for wind energy generation
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- Distributionally robust multi-item newsvendor problems with multimodal demand distributions
- Robust data-driven vehicle routing with time windows
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
- Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
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- Distributionally Robust Chance Constrained Geometric Optimization
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