Robust reward–risk ratio optimization with application in allocation of generation asset

DOI10.1080/02331934.2012.672419zbMath1305.91225OpenAlexW2025472325MaRDI QIDQ2926487

Xiaojiao Tong, Felix F. Wu

Publication date: 24 October 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.672419

zbMATH Keywords

performance ratioCVaR measureallocation of generation assetMIN-MAX optimizationreward-risk measure

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (7)

Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Inseparable robust reward-risk optimization models with distribution uncertainty ⋮ Robust reward–risk ratio portfolio optimization ⋮ Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ A new approach for worst-case regret portfolio optimization problem ⋮ The distributionally robust complementarity problem

Cites Work

• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Coherent risk measures in inventory problems
• Sharpe thinking in asset ranking with one-sided measures
• Worst-case distribution analysis of stochastic programs
• Coherent Measures of Risk
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Optimal Financial Portfolios
• Robust Portfolio Selection Problems

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