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Distributionally robust shortfall risk optimization model and its approximation
16 references·0 citing·27 second hop
Distributionally robust shortfall risk optimization model and its approximation (2018)Distributionally robust shortfall risk op…Data-driven risk-averse stochastic optimization with Wasserstein metric (2018)Data-driven risk-averse stoch…On elicitable risk measures (2015)On elicitable risk measuresData-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems (2015)Convergence Analysis for Dist…Multistage Stochastic Optimization (2014)Multistage Stochastic Optimiz…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…Stochastic Finance (2011)Stochastic FinanceDistributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)DISTRIBUTION‐INVARIANT RISK M…A Min-Max Solution of an Inventory Problem (2005)A Min-Max Solution of an Inve…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Putting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)The Distribution of Futures P…Maxmin expected utility with non-unique prior (1989)Robust Optimization (2009)A practical guide to robust optimization (2015)Data-driven robust optimization (2017)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Optimization of conditional value-at-risk (2000)Recent advances in robust optimization: An overview (2013)An Overview of Value at Risk (1997)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)Introduction to Stochastic Programming (2011)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)The Price of Robustness (2004)Frameworks and Results in Distributionally Robust Optimization (2022)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Lectures on Stochastic Programming: Modeling and Theory (2009)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2012Robust Solutions of Optimization Problems Affected by Uncertain Probabilities752 cited
  • 2002Putting order in risk measures684 cited
  • 2005A Min-Max Solution of an Inventory Problem552 cited
  • 2011Stochastic Finance424 cited
  • 2018Data-driven risk-averse stochastic optimization with Wasserstein metric325 cited
  • 2014Multistage Stochastic Optimization260 cited
  • 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY227 cited
  • 1989The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses198 cited
  • 2015On elicitable risk measures193 cited

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  • 2015Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems93 cited
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