Two-stage portfolio optimization with higher-order conditional measures of risk

DOI10.1007/s10479-014-1768-2zbMath1319.91144OpenAlexW2021217552MaRDI QIDQ492815

Sıtkı Gülten, Ruszczyński, Andrzej

Publication date: 21 August 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1768-2

zbMATH Keywords

stochastic programmingportfolio optimizationriskcoherent measures of riskscenario tree generation

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (7)

Long run risk sensitive portfolio with general factors ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Risk forms: representation, disintegration, and application to partially observable two-stage systems ⋮ Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty ⋮ Time-consistent approximations of risk-averse multistage stochastic optimization problems ⋮ Quantitative Stability Analysis of Two-Stage Stochastic Linear Programs with Full Random Recourse

Uses Software

• k-means++

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk-averse dynamic programming for Markov decision processes
• Dynamic monetary risk measures for bounded discrete-time processes
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• Scenario tree modeling for multistage stochastic programs
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Multistage optimization of option portfolio using higher order coherent risk measures
• Coherent multiperiod risk adjusted values and Bellman's principle
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Dynamic coherent risk measures
• Coherent Measures of Risk
• Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
• Convex risk measures and the dynamics of their penalty functions
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Stability of Multistage Stochastic Programs
• Lectures on Stochastic Programming
• LP solvable models for portfolio optimization: a classification and computational comparison
• Dual Stochastic Dominance and Related Mean-Risk Models
• Optimization of Convex Risk Functions
• Conditional Risk Mappings
• Frontiers of Stochastically Nondominated Portfolios
• On consistency of stochastic dominance and mean-semideviation models
• Scenario tree generation for multiperiod financial optimization of optimal discretization

This page was built for publication: Two-stage portfolio optimization with higher-order conditional measures of risk