Pages that link to "Item:Q3519406"

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

Displaying 50 items.

• Optimal asset allocation: risk and information uncertainty (Q322719) (← links)
• Ambiguity in risk preferences in robust stochastic optimization (Q323319) (← links)
• Robust portfolio optimization with a generalized expected utility model under ambiguity (Q665830) (← 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)
• An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution (Q1750392) (← 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)
• Worst-case analysis of Gini mean difference safety measure (Q1983716) (← 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)
• Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach (Q2149552) (← links)
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty (Q2152585) (← 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)
• Quantifying ambiguity bounds via time-consistent sets of indistinguishable models (Q2242978) (← 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)
• Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach (Q2941425) (← links)
• Uncertainties in minimax stochastic programs (Q3111134) (← links)
• TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION (Q3161743) (← links)
• (Q3527678) (← links)
• Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs (Q4586174) (← links)
• A Measure Approximation for Distributionally Robust PDE-Constrained Optimization Problems (Q4602349) (← links)
• Robust mean variance optimization problem under Rényi divergence information (Q4639130) (← 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)