Pages that link to "Item:Q2854210"
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The following pages link to Coherent worst-case value-at-risk with applications to robust portfolio optimization (Q2854210):
Displaying 7 items.
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084) (← links)
- A worst-case risk measure by G-VaR (Q2025187) (← links)
- Restricted risk measures and robust optimization (Q2629722) (← links)
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (Q2871416) (← links)
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (Q3100415) (← links)
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (Q3637367) (← links)
- Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)