Name
Abstract | ||
|---|---|---|
We illustrate the correspondence between uncertainty sets in robust optimization and some popular risk measures in finance and show how robust optimization can be used to generalize the concepts of these risk measures. We also show that by using properly defined uncertainty sets in robust optimization models, one can construct coherent risk measures and address the issue of the computational tractability of the resulting formulations. Our results have implications for efficient portfolio optimization under different measures of risk. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1287/opre.1080.0683 | Operations Research |
Keywords | Field | DocType |
robust optimization model,efficient portfolio optimization,popular risk measure,coherent risk measure,constructing risk measures,different measure,computational tractability,risk measure,uncertainty set,robust optimization,uncertainty sets,finance,portfolio management,portfolio optimization | Probabilistic-based design optimization,Mathematical optimization,Robust optimization,Project portfolio management,Portfolio optimization,Risk management,Mathematics,Operations management | Journal |
Volume | Issue | ISSN |
57 | 5 | 0030-364X |
Citations | PageRank | References |
57 | 3.73 | 18 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Karthik Natarajan | 1 | 407 | 31.52 |
| Dessislava Pachamanova | 2 | 280 | 17.89 |
| Melvyn Sim | 3 | 1909 | 117.68 |