Pages that link to "Item:Q3100415"

The following pages link to Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (Q3100415):

Displaying 50 items.

• A composite risk measure framework for decision making under uncertainty (Q2422609) (← links)
• Robust portfolio selection with uncertain exit time using worst-case VaR strategy (Q2465952) (← links)
• 60 years of portfolio optimization: practical challenges and current trends (Q2514707) (← links)
• Robustness of optimal portfolios under risk and stochastic dominance constraints (Q2514714) (← links)
• Worst-case robust Omega ratio (Q2514722) (← links)
• Twenty years of linear programming based portfolio optimization (Q2514724) (← links)
• Worst-case robust decisions for multi-period mean-variance portfolio optimization (Q2643927) (← links)
• The distributionally robust machine scheduling problem with job selection and sequence-dependent setup times (Q2664350) (← links)
• Smart network based portfolios (Q2675737) (← links)
• Optimal chance-constrained pension fund management through dynamic stochastic control (Q2676275) (← links)
• Inf-convolution and optimal allocations for mixed-VaRs (Q2681455) (← links)
• Distributionally robust multi-period portfolio selection subject to bankruptcy constraints (Q2691216) (← links)
• \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty (Q2691274) (← links)
• Worse-case conditional value-at-risk for asymmetrically distributed asset scenarios returns (Q2794915) (← links)
• Robustness to dependency in portfolio optimization using overlapping marginals (Q2797466) (← links)
• Convergence analysis for distributionally robust optimization and equilibrium problems (Q2806810) (← links)
• Computationally tractable counterparts of distributionally robust constraints on risk measures (Q2832107) (← links)
• Coherent worst-case value-at-risk with applications to robust portfolio optimization (Q2854210) (← links)
• Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (Q2871416) (← links)
• Robust risk measurement and model risk (Q2879011) (← links)
• A bi-objective portfolio optimization with conditional value-at-risk (Q2902361) (← links)
• Robust ν-support vector machine based on worst-case conditional value-at-risk minimization (Q2905345) (← links)
• Robust reward–risk ratio optimization with application in allocation of generation asset (Q2926487) (← links)
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (Q3637367) (← links)
• A Measure Approximation for Distributionally Robust PDE-Constrained Optimization Problems (Q4602349) (← links)
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038) (← links)
• Worst-Case Range Value-at-Risk with Partial Information (Q4635247) (← links)
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226) (← links)
• A Theory for Measures of Tail Risk (Q4958558) (← links)
• Worst-Case Expected Shortfall with Univariate and Bivariate Marginals (Q4995077) (← links)
• COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) (← links)
• Multi-stage stochastic model in portfolio selection problem (Q5023481) (← links)
• Robustness in the Optimization of Risk Measures (Q5031002) (← links)
• Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk (Q5043475) (← links)
• Finding Minimum Volume Circumscribing Ellipsoids Using Generalized Copositive Programming (Q5058050) (← links)
• Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model (Q5071661) (← links)
• Disruption Risk Mitigation in Supply Chains: The Risk Exposure Index Revisited (Q5126636) (← links)
• Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)
• Pricing Toll Roads under Uncertainty (Q5240222) (← links)
• (Q5324634) (← links)
• Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time (Q5346501) (← links)
• Multi-Loss WCVaR Risk Decision Optimization Based On Weight for Centralized Supply Problem of Direct Chain Enterprises (Q5384749) (← links)
• (Q5400290) (← links)
• Stability analysis of portfolio management with conditional value-at-risk (Q5423192) (← links)
• Risk analysis of a pay to delay capacity reservation contract (Q5481689) (← links)
• (Q5718847) (← links)
• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (Q5737736) (← links)
• Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures (Q5868966) (← links)
• Distributionally Robust Chance Constrained Geometric Optimization (Q5870361) (← links)
• Worst-case CVaR based portfolio optimization models with applications to scenario planning (Q5891577) (← links)