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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

Shaw, William Thornton - 2011

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340

Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix

Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...

Persistent link: https://www.econbiz.de/10015084447

Target-oriented distributionally robust optimization and its applications to surgery allocation

Chow, Vincent Tsz Fai; Cui, Zheng; Long, Daniel Zhuoyu - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2058-2072

Persistent link: https://www.econbiz.de/10013362645

Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Distribution assumption and risk constraints in portfolio optimization

Maringer, Dietmar G. - 2003

Persistent link: https://www.econbiz.de/10001786452

Robustness to dependency in portfolio optimization using overlapping marginals

Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488

Persistent link: https://www.econbiz.de/10011422605

Suboptimality in portfolio conditional value-at-risk optimization

Jakobsons, Edgars - In: Journal of risk 18 (2015/2016) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10011578360

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Kang, Zhilin; Li, Zhongfei - In: Mathematical methods of operations research 87 (2018) 2, pp. 169-195

Persistent link: https://www.econbiz.de/10011873984

A vehicle routing problem with distribution uncertainty in deadlines

Zhang, Dali; Li, Dong; Sun, Hailin; Hou, Liwen - In: European journal of operational research : EJOR 292 (2021) 1, pp. 311-326

Persistent link: https://www.econbiz.de/10012495440

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