Portfolio value-at-risk optimization for asymmetrically distributed asset returns
type: Item
instance of: scholarly article
title: Portfolio value-at-risk optimization for asymmetrically distributed asset returns
zbMATH Open document ID: 1253.91167
author: Joel Goh
author: Melvyn Sim
author: Weina Zhang
author: Kian Guan Lim
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/3241
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6119457
zbMATH Keywords: risk management
zbMATH Keywords: asymmetric distributions
zbMATH Keywords: partitioned value-at-risk
zbMATH Keywords: portfolio optimization
zbMATH Keywords: robust risk measures
MaRDI profile type: Publication
OpenAlex ID: W3122662914
cites work: Coherent measures of risk
cites work: Q3703094
cites work: Robust convex optimization
cites work: Optimal Inequalities in Probability Theory: A Convex Optimization Approach
cites work: The Price of Robustness
cites work: A characterization of the distributions that imply mean-variance utility functions
cites work: Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
cites work: Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
cites work: Portfolio Selection with Robust Estimation
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: Stochastic finance. An introduction in discrete time
cites work: Portfolio selection under distributional uncertainty: a relative robust CVaR approach
cites work: Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
cites work: Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
cites work: Financial data and the skewed generalized \(t\) distribution
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
DOI: 10.1016/J.EJOR.2012.03.012
description: scientific article; zbMATH DE number 6119457