Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

DOI10.1080/14697688.2012.738930zbMath1287.91133OpenAlexW1975849488MaRDI QIDQ2871416

Jun-Ya Gotoh, Akiko Takeda, Keita Shinozaki

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.738930

zbMATH Keywords

regularizationfactor modelcoherent risk measurerobust portfolioCVaR (conditional value-at-risk)

Mathematics Subject Classification ID

Related Items (13)

Robust and reliable portfolio optimization formulation of a chance constrained problem ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Robust empirical optimization is almost the same as mean-variance optimization ⋮ Robust reward–risk ratio portfolio optimization ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization ⋮ Worst-case analysis of Gini mean difference safety measure ⋮ Portfolio management with robustness in both prediction and decision: a mixture model based learning approach ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ Variance Regularization in Sequential Bayesian Optimization ⋮ Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models

Cites Work

• Minimizing loss probability bounds for portfolio selection
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• A robust approach based on conditional value-at-risk measure to statistical learning problems
• Portfolio optimization under lower partial risk measures
• Coherent Measures of Risk
• Sparse and stable Markowitz portfolios
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Large-Scale Portfolio Optimization
• Dual Stochastic Dominance and Related Mean-Risk Models
• Common risk factors in the returns on stocks and bonds
• Robust Portfolio Selection Problems

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