4.5 Article

Kernel density estimation based distributionally robust mean-CVaR portfolio optimization

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Computer Science, Software Engineering

Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

Peyman Mohajerin Esfahani et al.

MATHEMATICAL PROGRAMMING (2018)

Article Computer Science, Software Engineering

Robust sample average approximation

Dimitris Bertsimas et al.

MATHEMATICAL PROGRAMMING (2018)

Article Operations Research & Management Science

Data-driven risk-averse stochastic optimization with Wasserstein metric

Chaoyue Zhao et al.

OPERATIONS RESEARCH LETTERS (2018)

Article Mathematics, Applied

DISTRIBUTIONALLY ROBUST STOCHASTIC PROGRAMMING

Alexander Shapiro

SIAM JOURNAL ON OPTIMIZATION (2017)

Article Computer Science, Software Engineering

Data-driven chance constrained stochastic program

Ruiwei Jiang et al.

MATHEMATICAL PROGRAMMING (2016)

Article Social Sciences, Mathematical Methods

Likelihood robust optimization for data-driven problems

Zizhuo Wang et al.

COMPUTATIONAL MANAGEMENT SCIENCE (2016)

Article Computer Science, Software Engineering

Distributionally robust multi-item newsvendor problems with multimodal demand distributions

Grani A. Hanasusanto et al.

MATHEMATICAL PROGRAMMING (2015)

Article Management

Distributionally Robust Convex Optimization

Wolfram Wiesemann et al.

OPERATIONS RESEARCH (2014)

Article Computer Science, Interdisciplinary Applications

Mean-CVaR portfolio selection: A nonparametric estimation framework

Haixiang Yao et al.

COMPUTERS & OPERATIONS RESEARCH (2013)

Article Management

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

Aharon Ben-Tal et al.

MANAGEMENT SCIENCE (2013)

Article Computer Science, Software Engineering

Distributionally robust joint chance constraints with second-order moment information

Steve Zymler et al.

MATHEMATICAL PROGRAMMING (2013)

Article Operations Research & Management Science

Robust portfolios: contributions from operations research and finance

Frank J. Fabozzi et al.

ANNALS OF OPERATIONS RESEARCH (2010)

Article Management

Distributionally Robust Optimization and Its Tractable Approximations

Joel Goh et al.

OPERATIONS RESEARCH (2010)

Article Business, Finance

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

Victor DeMiguel et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Mathematics, Applied

Ambiguous risk measures and optimal robust portfolios

Giuseppe C. Calafiore

SIAM JOURNAL ON OPTIMIZATION (2007)

Article Management

Robust mean-covariance solutions for stochastic optimization

Ioana Popescu

OPERATIONS RESEARCH (2007)

Article Computer Science, Software Engineering

Ambiguous chance constrained problems and robust optimization

E Erdogan et al.

MATHEMATICAL PROGRAMMING (2006)

Article Mathematics, Applied

Convex approximations of chance constrained programs

Arkadi Nemirovski et al.

SIAM JOURNAL ON OPTIMIZATION (2006)

Article Mathematics, Applied

Optimal inequalities in probability theory: A convex optimization approach

D Bertsimas et al.

SIAM JOURNAL ON OPTIMIZATION (2005)

Article Statistics & Probability

Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory

PD Grünwald et al.

ANNALS OF STATISTICS (2004)

Article Business, Finance

Conditional value-at-risk for general loss distributions

RT Rockafellar et al.

JOURNAL OF BANKING & FINANCE (2002)

Article Statistics & Probability

High order data sharpening for density estimation

P Hall et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2002)

Article Computer Science, Software Engineering

On consistency of stochastic dominance and mean-semideviation models

W Ogryczak et al.

MATHEMATICAL PROGRAMMING (2001)