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Tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014

Persistent link: https://www.econbiz.de/10011282869

Computationally tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof; Hertog, Dirk den; Melenberg, Bertrand - 2015 - Revised version of CentER Discussion Paper No. 2014-031

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A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Ramos, Henrique; Righi, Marcelo; Guedes, Pablo; … - 2022

Ever since the introduction of Markowitz's classical quadratic programming problem, transforming portfolio optimization into a linear programming (LP) problem has drawn much attention from researchers and practitioners, given the tractability of LP. However, using non-linear risk measures and...

Persistent link: https://www.econbiz.de/10014081982

Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Market price-based convex risk measures : a distribution-free optimization approach

Li, Jonathan Y.; Kwon, Roy H. - In: Operations research letters 40 (2012) 2, pp. 128-133

Persistent link: https://www.econbiz.de/10009507888

General lower bounds on convex functionals of aggregate sums

Cheung, Ka Chun; Lo, Ambrose - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 884-896

Persistent link: https://www.econbiz.de/10010227789

Robust asset allocation strategies : relaxed versus classical robustness

Recchia, Raffaela; Scutellà, Maria Grazia - In: IMA journal of management mathematics 25 (2014) 1, pp. 21-56

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Investment under duality risk measure

Xu, Zuo Quan - In: European journal of operational research : EJOR 239 (2014) 3, pp. 786-793

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An algorithm for calculating the set of superhedging portfolios in markets with transaction costs

Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10010363905