Robust empirical optimization is almost the same as mean-variance optimization
From MaRDI portal
Publication:2417186
DOI10.1016/j.orl.2018.05.005OpenAlexW3125373499MaRDI QIDQ2417186
Andrew E. B. Lim, Michael Jong Kim, Jun-Ya Gotoh
Publication date: 11 June 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2018.05.005
regularizationmean-variance optimizationbias-variance trade-off\(\phi\)-divergencedata-driven optimizationrobust empirical optimization
Related Items
Calibration of Distributionally Robust Empirical Optimization Models, Learning models with uniform performance via distributionally robust optimization, Data-driven distributionally robust risk parity portfolio optimization, Learning Manipulation Through Information Dissemination, Frameworks and results in distributionally robust optimization, Dynamic optimization with side information, Quadratic hedging for sequential claims with random weights in discrete time, Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity, Bayesian Distributionally Robust Optimization, Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization, A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics, Robust Actuarial Risk Analysis, Variance Regularization in Sequential Bayesian Optimization, Distributionally robust optimization for sequential decision-making, Data-Driven Robust Resource Allocation with Monotonic Cost Functions
Uses Software
Cites Work
- Unnamed Item
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- On general minimax theorems
- Data-driven robust optimization
- Likelihood robust optimization for data-driven problems
- Robust Sensitivity Analysis for Stochastic Systems
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
