Portfolio optimization with entropic value-at-risk
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Publication:2001477
DOI10.1016/j.ejor.2019.02.007zbMath1431.91349arXiv1708.05713OpenAlexW2750201565MaRDI QIDQ2001477
Malihe Fallah-Tafti, Amir Ahmadi-Javid
Publication date: 3 July 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.05713
stochastic programmingrisk analysisportfolio optimizationcoherent risk measureslarge-scale convex optimization
Statistical methods; risk measures (91G70) Convex programming (90C25) Stochastic programming (90C15) Portfolio theory (91G10)
Related Items (13)
Portfolio theory, information theory and Tsallis statistics ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ f-Betas and portfolio optimization with f-divergence induced risk measures ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ Neurodynamics-driven portfolio optimization with targeted performance criteria ⋮ CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process ⋮ Optimal multivariate financial decision making ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Portfolio selection based on extended Gini shortfall risk measures ⋮ Empirical tail risk management with model-based annealing random search ⋮ Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution ⋮ Copula-based Black-Litterman portfolio optimization
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