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
Enhancing Financial Risk Assessment through Hybrid Simulation Models Using Oracle Crystal Ball and Python Monte Carlo Engines

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Concentration Inequalities for Log-concave Sequences

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Water Resource Allocation: A Learning-Based Optimization Framework for Sustainable Decision-Making Under Uncertainty

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Adaptivity Gaps for Stochastic Probing with Subadditive Functions

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Code and Data Repository for Wasserstein Risk-Sensitive Appointment Scheduling under Delay Constraints

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Code and Data Repository for An Efficient Jackknife Model Averaging Method

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MTS: A deep reinforcement learning portfolio management framework with time-awareness and short-selling

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Mathematics

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Relatively Robust Multicriteria Decisions

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Parameters Estimation in a Non-Homogeneous Poisson Process with Fuzzy Data Through a Modified Fuzzy Maximum Likelihood Approach Using Artificial Intelligence

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近5年高被引文献
Distributionally Robust Stochastic Optimization with Wasserstein Distance

article Full Text OpenAlex 549 FWCI47.3688

Recent advances in reinforcement learning in finance

article Full Text OpenAlex 160 FWCI47.4119

Frameworks and Results in Distributionally Robust Optimization

article Full Text OpenAlex 150 FWCI23.4929

A brief review of portfolio optimization techniques

review Full Text OpenAlex 122 FWCI19.9679

Stochastic Approximation: A Dynamical Systems Viewpoint

book Full Text OpenAlex 116 FWCI15.0874

A survey of contextual optimization methods for decision-making under uncertainty

article Full Text OpenAlex 103 FWCI51.9812

Robust Satisficing

article Full Text OpenAlex 97 FWCI14.5648

A survey on bilevel optimization under uncertainty

article Full Text OpenAlex 93 FWCI23.3588

Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls

article Full Text OpenAlex 88 FWCI13.1956

Distributionally Robust Joint Chance-Constrained Dispatch for Integrated Transmission-Distribution Systems via Distributed Optimization

article Full Text OpenAlex 87 FWCI7.6857