Coherent Worst-Case Value-at-Risk with Applications to Robust Portfolio Optimization

Applied Mathematics Research eXpress ◽

10.1093/amrx/abs018 ◽

2012 ◽

Author(s):

G.-M. Luo

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Operations Research ◽

10.1287/opre.51.4.543.16101 ◽

2003 ◽

Vol 51 (4) ◽

pp. 543-556 ◽

Author(s):

Laurent El Ghaoui ◽

Maksim Oks ◽

Francois Oustry

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Conic Programming ◽

Programming Approach ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust Portfolio Optimization with Value-at-Risk Adjusted Sharpe Ratio

SSRN Electronic Journal ◽

10.2139/ssrn.2146219 ◽

2012 ◽

Author(s):

Geng Deng ◽

Tim Dulaney ◽

Craig J. McCann ◽

Olivia Wang

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Sharpe Ratio ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

Journal of Asset Management ◽

10.1057/jam.2013.21 ◽

2013 ◽

Vol 14 (5) ◽

pp. 293-305 ◽

Author(s):

Geng Deng ◽

Tim Dulaney ◽

Craig McCann ◽

Olivia Wang

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

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Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

Operations Research ◽

10.1287/opre.2018.1736 ◽

2018 ◽

Vol 66 (6) ◽

pp. 1533-1541 ◽

Author(s):

Jonathan Yu-Meng Li

Keyword(s):

Closed Form ◽

Portfolio Optimization ◽

Risk Measures ◽

Case Law ◽

Technical Note ◽

Closed Form Solutions ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Law Invariant Risk Measures

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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

Operations Research ◽

10.1287/opre.1080.0684 ◽

2009 ◽

Vol 57 (5) ◽

pp. 1155-1168 ◽

Author(s):

Shushang Zhu ◽

Masao Fukushima

Keyword(s):

At Risk ◽

Portfolio Management ◽

Value At Risk ◽

Conditional Value At Risk ◽

Robust Portfolio

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Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization

SSRN Electronic Journal ◽

10.2139/ssrn.2838518 ◽

2016 ◽

Author(s):

Jonathan Yu-Meng Li

Keyword(s):

Closed Form ◽

Portfolio Optimization ◽

Risk Measures ◽

Case Law ◽

Closed Form Solutions ◽

Robust Portfolio Optimization ◽

Robust Portfolio ◽

Law Invariant Risk Measures

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Worst-case VaR and robust portfolio optimization with interval random uncertainty set

Expert Systems with Applications ◽

10.1016/j.eswa.2010.06.010 ◽

2011 ◽

Vol 38 (1) ◽

pp. 64-70 ◽

Author(s):

Wei Chen ◽

Shaohua Tan ◽

Dongqing Yang

Keyword(s):

Portfolio Optimization ◽

Random Uncertainty ◽

Robust Portfolio Optimization ◽

Uncertainty Set ◽

Robust Portfolio

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Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR approach

SSRN Electronic Journal ◽

10.2139/ssrn.3076283 ◽

2017 ◽

Author(s):

Fernando B. S. da Silva ◽

Fllvio Ziegelman ◽

Cristina Tessari

Keyword(s):

Portfolio Optimization ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Assessing Cost, Performance and Risk of Human Lunar Exploration Missions Using Robust Portfolio Optimization

2018 AIAA SPACE and Astronautics Forum and Exposition ◽

10.2514/6.2018-5179 ◽

2018 ◽

Author(s):

William J. O'Neill ◽

Daniel DeLaurentis

Keyword(s):

Portfolio Optimization ◽

Lunar Exploration ◽

Cost Performance ◽

Robust Portfolio Optimization ◽

Robust Portfolio

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Worst-Case Value at Risk and Portfolio Management: A Simple Method Incorporating Model Uncertainty

SSRN Electronic Journal ◽

10.2139/ssrn.3390968 ◽

2018 ◽

Author(s):

Ziting Pei ◽

Yuhong Xu ◽

Xingye Yue ◽

Xishun Wang

Keyword(s):

At Risk ◽

Portfolio Management ◽

Model Uncertainty ◽

Value At Risk ◽

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