Two-stage portfolio optimization with higher-order conditional measures of risk
Author
Abstract
Suggested Citation
DOI: 10.1007/s10479-014-1768-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
- Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999.
"From stochastic dominance to mean-risk models: Semideviations as risk measures,"
European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
- W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis.
- Riedel, Frank, 2004.
"Dynamic coherent risk measures,"
Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
- Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics.
- Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath & Hyejin Ku, 2007. "Coherent multiperiod risk adjusted values and Bellman’s principle," Annals of Operations Research, Springer, vol. 152(1), pages 5-22, July.
- Andrzej Ruszczyński & Alexander Shapiro, 2006.
"Conditional Risk Mappings,"
Mathematics of Operations Research, INFORMS, vol. 31(3), pages 544-561, August.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, University Library of Munich, Germany, revised 08 Oct 2005.
- Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
- Ronald Hochreiter & Georg Pflug, 2007. "Financial scenario generation for stochastic multi-stage decision processes as facility location problems," Annals of Operations Research, Springer, vol. 152(1), pages 257-272, July.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- Weide, R. van der, 2002. "Generalized Orthogonal GARCH. A Multivariate GARCH model," CeNDEF Working Papers 02-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Andrzej Ruszczyński & Alexander Shapiro, 2006.
"Optimization of Convex Risk Functions,"
Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
- Andrzej Ruszczynski & Robert J. Vanderbei, 2003. "Frontiers of Stochastically Nondominated Portfolios," Econometrica, Econometric Society, vol. 71(4), pages 1287-1297, July.
- Georg Ch Pflug & Werner Römisch, 2007. "Modeling, Measuring and Managing Risk," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6478, December.
- Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
- Mahmutoğulları, Ali İrfan & Çavuş, Özlem & Aktürk, M. Selim, 2018. "Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR," European Journal of Operational Research, Elsevier, vol. 266(2), pages 595-608.
- Özlem Çavuş & Andrzej Ruszczyński, 2014. "Computational Methods for Risk-Averse Undiscounted Transient Markov Models," Operations Research, INFORMS, vol. 62(2), pages 401-417, April.
- Malekipirbazari, Milad & Çavuş, Özlem, 2024. "Index policy for multiarmed bandit problem with dynamic risk measures," European Journal of Operational Research, Elsevier, vol. 312(2), pages 627-640.
- Christopher W. Miller & Insoon Yang, 2015. "Optimal Control of Conditional Value-at-Risk in Continuous Time," Papers 1512.05015, arXiv.org, revised Jan 2017.
- Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
- Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
- Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
- Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2017. "Statistical estimation of composite risk functionals and risk optimization problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 737-760, August.
- Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
- repec:hum:wpaper:sfb649dp2007-010 is not listed on IDEAS
- Alois Pichler & Ruben Schlotter, 2020. "Quantification of Risk in Classical Models of Finance," Papers 2004.04397, arXiv.org, revised Feb 2021.
- Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
- Nasim Dehghan Hardoroudi & Abolfazl Keshvari & Markku Kallio & Pekka Korhonen, 2017. "Solving cardinality constrained mean-variance portfolio problems via MILP," Annals of Operations Research, Springer, vol. 254(1), pages 47-59, July.
- R. Tyrrell Rockafellar & Johannes O. Royset, 2018. "Superquantile/CVaR risk measures: second-order theory," Annals of Operations Research, Springer, vol. 262(1), pages 3-28, March.
- Prékopa, András & Lee, Jinwook, 2018. "Risk tomography," European Journal of Operational Research, Elsevier, vol. 265(1), pages 149-168.
- Georg Ch. Pflug & Alois Pichler, 2016. "Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 682-699, May.
More about this item
Keywords
Stochastic programming; Scenario tree generation; Coherent measures of risk; Portfolio optimization; Risk;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:229:y:2015:i:1:p:409-427:10.1007/s10479-014-1768-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.