Robust risk management
type: Item
instance of: scholarly article
title: Robust risk management
zbMATH Open document ID: 1253.91086
author: Apostolos Fertis
author: Michel Baes
author: Hans-Jakob Lüthi
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 90C25
zbMATH DE Number: 6119545
zbMATH Keywords: convex programming
zbMATH Keywords: robust optimization
zbMATH Keywords: risk management
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.03.036
OpenAlex ID: W2002538129
cites work: Coherent measures of risk
cites work: Q4790110
cites work: Robust convex optimization
cites work: Robust solutions of uncertain linear programs
cites work: Robust solutions of linear programming problems contaminated with uncertain data
cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
cites work: Q3182207
cites work: Constructing Uncertainty Sets for Robust Linear Optimization
cites work: Robust multiperiod portfolio management in the presence of transaction costs
cites work: Robust discrete optimization and network flows
cites work: The Price of Robustness
cites work: Q4821526
cites work: The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
cites work: Convex measures of risk and trading constraints
cites work: Convex risk measures for portfolio optimization and concepts of flexibility
cites work: Constructing Risk Measures from Uncertainty Sets
cites work: Convex Analysis
cites work: Q4090957
cites work: Optimization of Convex Risk Functions
cites work: Lectures on Stochastic Programming
cites work: Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
cites work: Distributionally robust joint chance constraints with second-order moment information
cites work: Robust portfolio optimization with derivative insurance guarantees
DOI: 10.1016/J.EJOR.2012.03.036
Recommended article: Robust risk budgeting
Recommended article: Robust risk measurement and model risk
Recommended article: Robust Actuarial Risk Analysis
Recommended article: Robust return risk measures
Recommended article: Robust portfolio asset allocation and risk measures
Recommended article: Q5493483
Recommended article: Q4917246
Recommended article: Risk-sensitive investment management
description: scientific article; zbMATH DE number 6119545