Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

DOI10.1287/opre.2018.1736zbMath1455.91238OpenAlexW2901514607MaRDI QIDQ5131536

Jonathan Y. Li

Publication date: 8 November 2020

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

Full work available at URL: https://doi.org/10.1287/opre.2018.1736

zbMATH Keywords

coherent risk measuresspectral risk measuresrobust portfolio optimizationhigher-order risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (10)

Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Frameworks and results in distributionally robust optimization ⋮ Optimal reinsurance with model uncertainty and Stackelberg game ⋮ Distortion risk measure under parametric ambiguity ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Distributionally robust reinsurance with expectile ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Convex risk functionals: representation and applications ⋮ Multivariate robust second-order stochastic dominance and resulting risk-averse optimization ⋮ Robust Data-Driven Vehicle Routing with Time Windows

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