Pages that link to "Item:Q2941425"

The following pages link to Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (Q2941425):

Displaying 40 items.

• Portfolio selections under mean-variance preference with multiple priors for means and variances (Q525212) (← links)
• Robust unit commitment with \(n-1\) security criteria (Q530420) (← links)
• The distortion principle for insurance pricing: properties, identification and robustness (Q827147) (← links)
• Robust multicriteria risk-averse stochastic programming models (Q1698287) (← links)
• Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (Q1754334) (← links)
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (Q1785197) (← links)
• Tail nonlinearly transformed risk measure and its application (Q1929949) (← links)
• Portfolio optimization with entropic value-at-risk (Q2001477) (← links)
• Data-driven distributionally robust capacitated facility location problem (Q2030664) (← links)
• Robust conditional expectation reward-risk performance measures (Q2036926) (← links)
• KDE distributionally robust portfolio optimization with higher moment coherent risk (Q2070731) (← links)
• Distributionally robust optimization. A review on theory and applications (Q2074636) (← links)
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization (Q2089892) (← links)
• Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (Q2149552) (← links)
• Frameworks and results in distributionally robust optimization (Q2165596) (← links)
• Multistage optimization of option portfolio using higher order coherent risk measures (Q2253640) (← links)
• Varying confidence levels for CVaR risk measures and minimax limits (Q2297651) (← links)
• A quantitative comparison of risk measures (Q2400017) (← links)
• Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance (Q2422355) (← links)
• Distributions with maximum spread subject to Wasserstein distance constraints (Q2422610) (← links)
• Computationally tractable counterparts of distributionally robust constraints on risk measures (Q2832107) (← links)
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038) (← links)
• Tail Risk Measures and Portfolio Selection (Q5015921) (← links)
• Distributionally robust portfolio optimization with linearized STARR performance measure (Q5068074) (← 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)
• Distributionally Robust Two-Stage Stochastic Programming (Q5093642) (← links)
• Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization (Q5131536) (← links)
• Wasserstein Distance and the Distributionally Robust TSP (Q5131541) (← links)
• Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete (Q5139835) (← links)
• Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500 (Q5245462) (← links)
• (Q5399859) (← links)
• Distributionally Robust Chance Constrained Geometric Optimization (Q5870361) (← links)
• Portfolio Optimization within a Wasserstein Ball (Q6091091) (← links)
• Bowley vs. Pareto optima in reinsurance contracting (Q6106993) (← links)
• Risk measures under model uncertainty: a Bayesian viewpoint (Q6147108) (← links)
• Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models (Q6173305) (← links)
• Worst-case moments under partial ambiguity (Q6174089) (← links)
• Robust distortion risk measures (Q6641073) (← links)
• Distributionally robust portfolio optimization under marginal and copula ambiguity (Q6655814) (← links)