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Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk
11 references·0 citing·33 second hop
Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk (2018)Safety-Aware Optimal Control of Stochasti…Optimal Control of Conditional Value-at-Risk in Continuous Time (2017)Optimal Control of Conditiona…Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach (2015)Risk-Sensitive and Robust Dec…A Convex Analytic Approach to Risk-Aware Markov Decision Processes (2015)A Convex Analytic Approach to…Markov Decision Processes with Average-Value-at-Risk criteria (2011)Markov Decision Processes wit…Conditional Risk Mappings (2006)Conditional Risk MappingsCoherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskAnalysis of Sample-Path Optimization (1996)Analysis of Sample-Path Optim…On law invariant coherent risk measures (2001)Stochastic Finance: An Introduction in Discrete Time (2002)Robust MDPs with k-Rectangular Uncertainty (2016)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)On the coherence of expected shortfall (2002)Optimizing the CVaR via Sampling (2015)Sequential Decision Making With Coherent Risk (2016)Gradient Estimation via Perturbation Analysis (1991)Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)A review of simulation optimization techniques (2002)A survey of simulation optimization techniques and procedures (2002)Stability of Stochastic Programming Problems (2003)Maxmin expected utility with non-unique prior (1989)Convex measures of risk and trading constraints (2002)Conditional and dynamic convex risk measures (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)Robust Control of Markov Decision Processes with Uncertain Transition Matrices (2005)Answerable and Unanswerable Questions in Risk Analysis with Open‐World Novelty (2020)Recent Advances in Reinforcement Learning in Finance (2021)PORTFOLIO SELECTION* (1952)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Stochastic programming approach to optimization under uncertainty (2007)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)Conditional value-at-risk: optimization algorithms and applications (2002)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2006Conditional Risk Mappings251 cited
  • 1996Analysis of Sample-Path Optimization248 cited
  • 2015Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach143 cited
  • 2011Markov Decision Processes with Average-Value-at-Risk criteria108 cited
  • 2015A Convex Analytic Approach to Risk-Aware Markov Decision Processes61 cited
  • 2017Optimal Control of Conditional Value-at-Risk in Continuous Time61 cited

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