专题:Risk and Portfolio Optimization

This cluster of papers focuses on robust optimization techniques for risk management and finance, including topics such as conditional value-at-risk, stochastic programming, portfolio optimization, uncertain data, coherent risk measures, and the Wasserstein metric. The papers explore methodologies and applications of robust optimization in addressing uncertainty and risk in financial decision-making.
最新文献
White Noise-Driven Stochastic Partial Differential Equations with Mean Reflection

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Tail-GAN: Learning to Simulate Tail Risk Scenarios

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Emergency risk dispatch for integrated electricity and heating system subjected to hurricane event

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Comment on “Average Hazard as Harmonic Mean” by Chiba (2025)

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A novel approach to sustainable mean-variance portfolio optimization: Accounting for ESG-related uncertainty

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Optimal Control under Uncertainty with Joint Chance State Constraints: Almost-Everywhere Bounds, Variance Reduction, and Application to (Bi)linear Elliptic PDEs

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Multi-Period Portfolio Rebalancing Model with Adaptive Expectation Adjustment and Sentiments-Based Algorithm Design

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Active portfolio management using robust optimization

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Stochastic maximum principle for mean-field systems with recursive utilities under model uncertainty

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A novel multi-stage multi-scenario multi-objective optimisation framework for adaptive robust decision-making under deep uncertainty

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近5年高被引文献
Pyomo — Optimization Modeling in Python

book Full Text OpenAlex 629 FWCI50.731

Distributionally Robust Stochastic Optimization with Wasserstein Distance

article Full Text OpenAlex 460 FWCI30.243

Smart “Predict, then Optimize”

article Full Text OpenAlex 447 FWCI50.23

Staggeringly Problematic: A Primer on Staggered DiD for Accounting Researchers

article Full Text OpenAlex 230 FWCI19.422

Shapley Values for Feature Selection: The Good, the Bad, and the Axioms

article Full Text OpenAlex 227 FWCI25.673

STaRT-RWE: structured template for planning and reporting on the implementation of real world evidence studies

article Full Text OpenAlex 160 FWCI20.979

A Survey on Mixed-Integer Programming Techniques in Bilevel Optimization

article Full Text OpenAlex 157 FWCI18.143

Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances

article Full Text OpenAlex 97 FWCI7.797

Learning models with uniform performance via distributionally robust optimization

article Full Text OpenAlex 96 FWCI12.55

Recent advances in reinforcement learning in finance

article Full Text OpenAlex 96 FWCI35.031