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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

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Cited by:

  1. A. Paç & Mustafa Pınar, 2014. "Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 875-891, October.
  2. Zhi Chen & Melvyn Sim & Peng Xiong, 2020. "Robust Stochastic Optimization Made Easy with RSOME," Management Science, INFORMS, vol. 66(8), pages 3329-3339, August.
  3. Babat, Onur & Vera, Juan C. & Zuluaga, Luis F., 2018. "Computing near-optimal Value-at-Risk portfolios using integer programming techniques," European Journal of Operational Research, Elsevier, vol. 266(1), pages 304-315.
  4. Wu, Zhongqi & Jiang, Hui & Zhou, Yangye & Li, Haoyan, 2024. "Enhancing emergency medical service location model for spatial accessibility and equity under random demand and travel time," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 185(C).
  5. Postek, K.S. & den Hertog, D. & Melenberg, B., 2014. "Tractable Counterparts of Distributionally Robust Constraints on Risk Measures," Other publications TiSEM c3a1df3e-f338-4989-806a-d, Tilburg University, School of Economics and Management.
  6. Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
  7. Pengyu Qian & Zizhuo Wang & Zaiwen Wen, 2015. "A Composite Risk Measure Framework for Decision Making under Uncertainty," Papers 1501.01126, arXiv.org.
  8. Wenqing Chen & Melvyn Sim & Jie Sun & Chung-Piaw Teo, 2010. "From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization," Operations Research, INFORMS, vol. 58(2), pages 470-485, April.
  9. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
  10. Adabi Firouzjaee , Bagher & Mehrara , Mohsen & Mohammadi , Shapour, 2014. "Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 9(1), pages 1-30, October.
  11. Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem, 2009. "Robust Optimization of Currency Portfolios," Working Papers 012, COMISEF.
  12. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
  13. Vishal Gupta, 2019. "Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(9), pages 4242-4260, September.
  14. Zhang, Bo & Yao, Tao & Friesz, Terry L. & Sun, Yuqi, 2015. "A tractable two-stage robust winner determination model for truckload service procurement via combinatorial auctions," Transportation Research Part B: Methodological, Elsevier, vol. 78(C), pages 16-31.
  15. Zhang, Mengling & Jiao, Zihao & Ran, Lun & Zhang, Yuli, 2023. "Optimal energy and reserve scheduling in a renewable-dominant power system," Omega, Elsevier, vol. 118(C).
  16. Chrysanthos E. Gounaris & Wolfram Wiesemann & Christodoulos A. Floudas, 2013. "The Robust Capacitated Vehicle Routing Problem Under Demand Uncertainty," Operations Research, INFORMS, vol. 61(3), pages 677-693, June.
  17. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
  18. Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
  19. Shubhechyya Ghosal & Wolfram Wiesemann, 2020. "The Distributionally Robust Chance-Constrained Vehicle Routing Problem," Operations Research, INFORMS, vol. 68(3), pages 716-732, May.
  20. Black, Ben & Ainslie, Russell & Dokka, Trivikram & Kirkbride, Christopher, 2023. "Distributionally robust resource planning under binomial demand intakes," European Journal of Operational Research, Elsevier, vol. 306(1), pages 227-242.
  21. An Chen & Mitja Stadje & Fangyuan Zhang, 2020. "On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization," Papers 2002.02229, arXiv.org, revised Jun 2022.
  22. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  23. Postek, K.S. & den Hertog, D. & Melenberg, B., 2014. "Tractable Counterparts of Distributionally Robust Constraints on Risk Measures," Discussion Paper 2014-031, Tilburg University, Center for Economic Research.
  24. Kocuk, Burak & Cornuéjols, Gérard, 2020. "Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals," Omega, Elsevier, vol. 91(C).
  25. Zhao, Kena & Ng, Tsan Sheng & Tan, Chin Hon & Pang, Chee Khiang, 2021. "An almost robust model for minimizing disruption exposures in supply systems," European Journal of Operational Research, Elsevier, vol. 295(2), pages 547-559.
  26. Biefel, Christian & Liers, Frauke & Rolfes, Jan & Schewe, Lars & Zöttl, Gregor, 2022. "Robust market equilibria under uncertain cost," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1230-1241.
  27. Viet Anh Nguyen & Soroosh Shafiee & Damir Filipovi'c & Daniel Kuhn, 2021. "Mean-Covariance Robust Risk Measurement," Papers 2112.09959, arXiv.org, revised Nov 2023.
  28. Wong, Man Hong & Zhang, Shuzhong, 2013. "Computing best bounds for nonlinear risk measures with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 204-212.
  29. Georg Mainik & Georgi Mitov & Ludger Ruschendorf, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Papers 1505.04045, arXiv.org.
  30. Plachel, Lukas, 2019. "A unified model for regularized and robust portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  31. Nikulin, Yury, 2006. "Robustness in combinatorial optimization and scheduling theory: An extended annotated bibliography," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 606, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  32. Maria Scutellà & Raffaella Recchia, 2013. "Robust portfolio asset allocation and risk measures," Annals of Operations Research, Springer, vol. 204(1), pages 145-169, April.
  33. Maxime C. Cohen & Philipp W. Keller & Vahab Mirrokni & Morteza Zadimoghaddam, 2019. "Overcommitment in Cloud Services: Bin Packing with Chance Constraints," Management Science, INFORMS, vol. 65(7), pages 3255-3271, July.
  34. Lotfi, Somayyeh & Zeniosn, Stravros A., 2016. "Equivalence of Robust VaR and CVaR Optimization," Working Papers 16-03, University of Pennsylvania, Wharton School, Weiss Center.
  35. Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
  36. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
  37. Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
  38. L. Jeff Hong & Zhaolin Hu & Liwei Zhang, 2014. "Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(2), pages 385-400, May.
  39. L. Jeff Hong & Zhiyuan Huang & Henry Lam, 2021. "Learning-Based Robust Optimization: Procedures and Statistical Guarantees," Management Science, INFORMS, vol. 67(6), pages 3447-3467, June.
  40. Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2021. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 370-389, January.
  41. Weaver, Robert D. & Moon, Yongma, 2020. "Pricing Perishables: Robust Price Assurance," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 11(01), January.
  42. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
  43. Thomas Schmelzer & Raphael Hauser, 2013. "Seven Sins in Portfolio Optimization," Papers 1310.3396, arXiv.org.
  44. Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2021. "Is Being “Robust” Beneficial? A Perspective from the Indian Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 469-497, December.
  45. Alper Atamtürk & Andrés Gómez, 2020. "Submodularity in Conic Quadratic Mixed 0–1 Optimization," Operations Research, INFORMS, vol. 68(2), pages 609-630, March.
  46. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
  47. G. C. Calafiore & L. El Ghaoui, 2006. "On Distributionally Robust Chance-Constrained Linear Programs," Journal of Optimization Theory and Applications, Springer, vol. 130(1), pages 1-22, July.
  48. Xia Han & Peng Liu, 2024. "Robust Lambda-quantiles and extreme probabilities," Papers 2406.13539, arXiv.org.
  49. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
  50. Kathleen E. Miao & Silvana M. Pesenti, 2024. "Robust Elicitable Functionals," Papers 2409.04412, arXiv.org.
  51. Ioana Popescu, 2005. "A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 632-657, August.
  52. Jiao, Zihao & Ran, Lun & Zhang, Yanzi & Ren, Yaping, 2021. "Robust vehicle-to-grid power dispatching operations amid sociotechnical complexities," Applied Energy, Elsevier, vol. 281(C).
  53. Humphery-Jenner, M., 2011. "Anti-takeover Provisions as a Source of Innovation and Value Creation," Other publications TiSEM 9eb6f6bf-8859-429e-a029-a, Tilburg University, School of Economics and Management.
  54. Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
  55. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2009. "Constructing Risk Measures from Uncertainty Sets," Operations Research, INFORMS, vol. 57(5), pages 1129-1141, October.
  56. Pelletier, Samuel & Jabali, Ola & Laporte, Gilbert, 2019. "The electric vehicle routing problem with energy consumption uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 126(C), pages 225-255.
  57. Guanglin Xu & Samuel Burer, 2018. "A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming," Computational Management Science, Springer, vol. 15(1), pages 111-134, January.
  58. P. Bonami & M. A. Lejeune, 2009. "An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints," Operations Research, INFORMS, vol. 57(3), pages 650-670, June.
  59. Zhi Chen & Weijun Xie, 2021. "Regret in the Newsvendor Model with Demand and Yield Randomness," Production and Operations Management, Production and Operations Management Society, vol. 30(11), pages 4176-4197, November.
  60. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
  61. Su, Xiaoshan & Bai, Manying & Han, Yingwei, 2021. "Robust portfolio selection with regime switching and asymmetric dependence," Economic Modelling, Elsevier, vol. 99(C).
  62. Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
  63. David Wozabal, 2014. "Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach," Operations Research, INFORMS, vol. 62(6), pages 1302-1315, December.
  64. Viet Anh Nguyen & Fan Zhang & Shanshan Wang & Jose Blanchet & Erick Delage & Yinyu Ye, 2021. "Robustifying Conditional Portfolio Decisions via Optimal Transport," Papers 2103.16451, arXiv.org, revised Apr 2024.
  65. Alper Atamtürk & Carlos Deck & Hyemin Jeon, 2020. "Successive Quadratic Upper-Bounding for Discrete Mean-Risk Minimization and Network Interdiction," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 346-355, April.
  66. Y. Zhang, 2007. "General Robust-Optimization Formulation for Nonlinear Programming," Journal of Optimization Theory and Applications, Springer, vol. 132(1), pages 111-124, January.
  67. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
  68. Xia, Zichao & Zou, Zhenfeng & Hu, Taizhong, 2023. "Inf-convolution and optimal allocations for mixed-VaRs," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 156-164.
  69. Lotfi, Somayyeh & Zenios, Stavros A., 2018. "Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances," European Journal of Operational Research, Elsevier, vol. 269(2), pages 556-576.
  70. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2013. "Regularized robust optimization: the optimal portfolio execution case," Computational Optimization and Applications, Springer, vol. 55(2), pages 341-377, June.
  71. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
  72. Wolfram Wiesemann & Daniel Kuhn & Melvyn Sim, 2014. "Distributionally Robust Convex Optimization," Operations Research, INFORMS, vol. 62(6), pages 1358-1376, December.
  73. Shushang Zhu & Masao Fukushima, 2009. "Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management," Operations Research, INFORMS, vol. 57(5), pages 1155-1168, October.
  74. Bowen Li & Ruiwei Jiang & Johanna L. Mathieu, 2022. "Integrating unimodality into distributionally robust optimal power flow," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 594-617, October.
  75. Yuriy Zinchenko & Alexandru V. Asimit, 2023. "Modeling Risk for CVaR-Based Decisions in Risk Aggregation," JRFM, MDPI, vol. 16(5), pages 1-22, May.
  76. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
  77. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  78. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
  79. Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020. "Convolution Bounds on Quantile Aggregation," Papers 2007.09320, arXiv.org, revised Sep 2024.
  80. Gregory, Christine & Darby-Dowman, Ken & Mitra, Gautam, 2011. "Robust optimization and portfolio selection: The cost of robustness," European Journal of Operational Research, Elsevier, vol. 212(2), pages 417-428, July.
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  82. David Wozabal, 2012. "A framework for optimization under ambiguity," Annals of Operations Research, Springer, vol. 193(1), pages 21-47, March.
  83. Costa, Oswaldo L.V. & de Oliveira Ribeiro, Celma & Rego, Erik Eduardo & Stern, Julio Michael & Parente, Virginia & Kileber, Solange, 2017. "Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix," Energy Economics, Elsevier, vol. 64(C), pages 158-169.
  84. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
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  86. Dai, Zhifeng & Wang, Fei, 2019. "Sparse and robust mean–variance portfolio optimization problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1371-1378.
  87. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
  88. Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
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  122. Qiaoming Han & Donglei Du & Luis F. Zuluaga, 2014. "Technical Note---A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula," Operations Research, INFORMS, vol. 62(3), pages 535-542, June.
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  126. Raphael Hauser & Vijay Krishnamurthy & Reha Tutuncu, 2013. "Relative Robust Portfolio Optimization," Papers 1305.0144, arXiv.org, revised May 2013.
  127. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2008. "Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization," Management Science, INFORMS, vol. 54(3), pages 573-585, March.
  128. Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
  129. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
  130. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
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