Two-stage portfolio optimization with higher-order conditional measures of risk
type: Item
instance of: scholarly article
title: Two-stage portfolio optimization with higher-order conditional measures of risk
zbMATH Open document ID: 1319.91144
author: Sıtkı Gülten
author: Andrzej Ruszczyński
published in: Annals of Operations Research
publication date: 2015-08-21T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6474565
zbMATH Keywords: stochastic programming
zbMATH Keywords: scenario tree generation
zbMATH Keywords: coherent measures of risk
zbMATH Keywords: portfolio optimization
zbMATH Keywords: risk
describes a project that uses: k-means++
MaRDI profile type: Publication
full work available at URL: s10479-014-1768-2
OpenAlex ID: W2021217552
cites work: Q2934696
cites work: Coherent measures of risk
cites work: Coherent multiperiod risk adjusted values and Bellman's principle
cites work: Dynamic monetary risk measures for bounded discrete-time processes
cites work: Convex risk measures and the dynamics of their penalty functions
cites work: RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
cites work: Scenario tree modeling for multistage stochastic programs
cites work: Stability of Multistage Stochastic Programs
cites work: Financial scenario generation for stochastic multi-stage decision processes as facility location problems
cites work: Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
cites work: LP solvable models for portfolio optimization: a classification and computational comparison
cites work: Multistage optimization of option portfolio using higher order coherent risk measures
cites work: Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
cites work: Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
cites work: From stochastic dominance to mean-risk models: Semideviations as risk measures
cites work: On consistency of stochastic dominance and mean-semideviation models
cites work: Dual Stochastic Dominance and Related Mean-Risk Models
cites work: Scenario tree generation for multiperiod financial optimization of optimal discretization
cites work: Q3528030
cites work: Dynamic coherent risk measures
cites work: Q3376534
cites work: Risk-averse dynamic programming for Markov decision processes
cites work: Frontiers of Stochastically Nondominated Portfolios
cites work: Conditional Risk Mappings
cites work: Optimization of Convex Risk Functions
cites work: Lectures on Stochastic Programming
DOI: 10.1007/S10479-014-1768-2
description: scientific article; zbMATH DE number 6474565