Inseparable robust reward-risk optimization models with distribution uncertainty

DOI10.1007/s13160-016-0230-zzbMath1370.90184OpenAlexW2549043129MaRDI QIDQ2396920

Yijia Zhou, Bo Yu, Li Yang, Li-Jun Xu

Publication date: 29 May 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-016-0230-z

zbMATH Keywords

duality theoremrobust CVaRincomplete distributionrobust reward

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cites Work

• Portfolio optimization under lower partial risk measures
• Robust asset allocation
• Lectures on Modern Convex Optimization
• Coherent Measures of Risk
• A Distributional Interpretation of Robust Optimization
• Robust reward–risk ratio optimization with application in allocation of generation asset
• A Soft Robust Model for Optimization Under Ambiguity
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Constructing Uncertainty Sets for Robust Linear Optimization
• Theory and Applications of Robust Optimization
• Robust Regression and Lasso
• Robust Portfolio Selection Problems
• Extreme Value Theory as a Risk Management Tool
• Worst-case CVaR based portfolio optimization models with applications to scenario planning
• Credit risk optimization with conditional Value-at-Risk criterion
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