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Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric
16 references·0 citing·34 second hop
Distributionally robust portfolio optimization with second-order stochastic dominance based on wasserstein metric (2022)Distributionally robust portfolio optimiz…The mixed integer robust maximum expert consensus models for large-scale GDM under uncertainty circumstances (2021)The mixed integer robust maxi…Distributionally robust optimization with decision dependent ambiguity sets (2020)Distributionally robust optim…Data-driven distributionally robust chance-constrained optimization with Wasserstein metric (2020)Data-driven distributionally …Data-driven risk-averse stochastic optimization with Wasserstein metric (2018)Data-driven risk-averse stoch…Portfolio Choice Based on Third-Degree Stochastic Dominance (2016)Portfolio Choice Based on Thi…Likelihood robust optimization for data-driven problems (2015)Likelihood robust optimizatio…Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Multistage Stochastic Optimization (2014)Multistage Stochastic Optimiz…Distributionally Robust Stochastic Knapsack Problem (2014)Distributionally Robust Stoch…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization (2014)A Cutting Surface Algorithm f…Stochastic Dominance: Investment Decision Making under Uncertainty (2010)Stochastic Dominance: Investm…Improved Portfolio Choice Using Second Order Stochastic Dominance (2010)Improved Portfolio Choice Usi…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Optim…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …The Price of Robustness (2004)Robust Optimization (2009)Theory and Applications of Robust Optimization (2010)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Distributionally Robust Optimization: A review on theory and applications (2021)Wasserstein Distributionally Robust Optimization and Variation Regularization (2022)Theory of Games and Economic Behavior (1945)Portfolio optimization with stochastic dominance constraints (2005)Introduction to Stochastic Programming (2011)Monte Carlo sampling-based methods for stochastic optimization (2014)The Simple Economics of Optimal Persuasion (2017)Theory of games and economic behavior (2019)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)Coherent Measures of Risk (1999)A practical guide to robust optimization (2015)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Frameworks and Results in Distributionally Robust Optimization (2022)Maxmin expected utility with non-unique prior (1989)Data-driven robust optimization (2017)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)Decision-Focused Learning: Foundations, State of the Art, Benchmark and Future Opportunities (2024)Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance (2002)Prospect Theory: Much Ado About Nothing? (2002)Prospect Theory and Mean-Variance Analysis (2003)Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls (2018)Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls (2022)Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity (2021)Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics (2021)Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)
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References

  • 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
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2010Distributionally Robust Optimization and Its Tractable Approximations668 cited
  • 2010Stochastic Dominance: Investment Decision Making under Uncertainty591 cited
  • 2003Optimization with Stochastic Dominance Constraints369 cited
  • 2018Data-driven risk-averse stochastic optimization with Wasserstein metric325 cited
  • 2014Multistage Stochastic Optimization260 cited
  • 2015Likelihood robust optimization for data-driven problems176 cited
  • 2020Data-driven distributionally robust chance-constrained optimization with Wasserstein metric99 cited
  • 2020Distributionally robust optimization with decision dependent ambiguity sets94 cited
  • 2016Portfolio Choice Based on Third-Degree Stochastic Dominance94 cited
  • 2010Improved Portfolio Choice Using Second Order Stochastic Dominance87 cited
  • 2021The mixed integer robust maximum expert consensus models for large-scale GDM under uncertainty circumstances86 cited

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2014
Distributionally Robust Stochastic Knapsack Problem
82 cited
  • 2014A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization72 cited
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