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
Return as a vague element: fuzzy multi-objective portfolio making under sustainable investment strategy

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FDSE v2: Variable Importance Guided Hybrid Fuzzing (Competition Contribution)

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白夜の臨界 / Threshold of the White Night: A GI Theory Case Study in Arctic LNG Insurance Risk and Geopolitical Weaponization of Legal Voids (2028–2029)

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Threshold of the White Night / 白夜の臨界: A GI Theory Case Study in Arctic LNG Insurance Risk and Geopolitical Weaponization of Legal Voids (2028–2029)

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Market frictions, ambiguity and asset pricing: evidence from China

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Preference Robustness for DPO with Applications to Public Health

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Causal analysis of extreme risk in a network of industry portfolios

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A framework for decision making under deep uncertainty in hard-to-abate industries: An application case for investment in a German steel plant

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Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance

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Minimax Lower Bounds for Uniform Estimation of Covariate-Dependent Copula Parameters

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

article Full Text OpenAlex 566 FWCI47.6306

Recent advances in reinforcement learning in finance

article Full Text OpenAlex 170 FWCI48.0463

Frameworks and Results in Distributionally Robust Optimization

article Full Text OpenAlex 160 FWCI23.8148

A brief review of portfolio optimization techniques

review Full Text OpenAlex 126 FWCI19.9309

Stochastic Approximation: A Dynamical Systems Viewpoint

book Full Text OpenAlex 116 FWCI14.8369

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

article Full Text OpenAlex 110 FWCI50.3637

Robust Satisficing

article Full Text OpenAlex 104 FWCI15.0324

A survey on bilevel optimization under uncertainty

article Full Text OpenAlex 99 FWCI23.916

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

article Full Text OpenAlex 92 FWCI13.1741

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

article Full Text OpenAlex 91 FWCI7.7589