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Distributionally robust optimization based on kernel density estimation and mean-entropic value-at-risk

Liu, Wei; Li, Yang; Yu, Bo - In: INFORMS journal on optimization 5 (2023) 1, pp. 68-91

Persistent link: https://www.econbiz.de/10014292039

Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

Trucíos, Carlos - 2017

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

Persistent link: https://www.econbiz.de/10012956168

Expected shortfall estimation and Gaussian inference for infinite variance time series

Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10010519664

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45

Persistent link: https://www.econbiz.de/10011591613

Distributionally robust inference for extreme Value-at-Risk

Yuen, Robert; Stoev, Stilian; Cooley, Daniel - In: Insurance / Mathematics & economics 92 (2020), pp. 70-89

Persistent link: https://www.econbiz.de/10012242040

Computationally efficient approximations for distributionally robust optimization under moment and Wasserstein ambiguity

Cheramin, Meysam; Cheng, Jianqiang; Jiang, Ruiwei; Pan, Kai - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1768-1794

Persistent link: https://www.econbiz.de/10013361843

Optimal uncertainty size in distributionally robust inverse covariance estimation

Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621

Persistent link: https://www.econbiz.de/10012131899

Finite-sample guarantees for Wasserstein distributionally robust optimization : breaking the curse of dimensionality

Gao, Rui - In: Operations research 71 (2023) 6, pp. 2291-2306

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Distributionally robust optimization with confidence bands for probability density functions

Chen, Xi; Lin, Qihang; Xu, Guanglin - In: INFORMS journal on optimization 4 (2022) 1, pp. 65-89

Persistent link: https://www.econbiz.de/10013185200

Distributionally robust newsvendor under stochastic dominance with a feature-based application

Fu, Mingyang; Li, Xiaobo; Zhang, Lianmin - In: Manufacturing & service operations management : M & SOM 26 (2024) 5, pp. 1962-1977

Persistent link: https://www.econbiz.de/10015133206