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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Jun-Ya Gotoh Department of Industrial and Systems Engineering, Chuo University, 2-13-27 Kasuga, Bunkyo-ku, Tokyo, 112-8551, JapanCorrespondence[email protected]
,
Keita Shinozaki ACT Co.,Ltd., 1-21-5 Hyakunincho, Shinjuku-ku, Tokyo, 169-0073, Japan
&
Akiko Takeda Department of Administration Engineering, Keio University, 3-14-1 Hiyoshi, Kohoku-ku, Yokohama, Kanagawa, 223-8522, Japan
Pages 1621-1635 | Received 27 Nov 2010, Accepted 08 Oct 2012, Published online: 16 Jan 2013

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Zhilin Kang, Xun Li, Zhongfei Li & Shushang Zhu. (2019) Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Quantitative Finance 19:1, pages 105-121.
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Articles from other publishers (28)

Ken Kobayashi, Yuichi Takano & Kazuhide Nakata. (2023) Cardinality-constrained distributionally robust portfolio optimization. European Journal of Operational Research 309:3, pages 1173-1182.
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Maria Cristina Arcuri, Gino Gandolfi & Fabrizio Laurini. (2022) Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints. Central European Journal of Operations Research 31:2, pages 557-581.
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Marlon Moresco, Mélina Mailhot & Silvana M. Pesenti. (2023) Uncertainty Propagation and Dynamic Robust Risk Measures. SSRN Electronic Journal.
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Yuichi Takano & Jun-ya Gotoh. (2023) Dynamic portfolio selection with linear control policies for coherent risk minimization. Operations Research Perspectives 10, pages 100262.
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Zhifeng Dai & Jie Kang. (2021) Some new efficient mean–variance portfolio selection models. International Journal of Finance & Economics 27:4, pages 4784-4796.
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Huan Tian, Xinxing Yan, Fu Zhou, Chuan Xu, Chao Li, Xin Chen & Xia He. (2022) Effect of process conditions on generation of hydrochloric acid and lithium hydroxide from simulated lithium chloride solution using bipolar membrane electrodialysis. SN Applied Sciences 4:2.
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Ken Kobayashi, Yuichi Takano & Kazuhide Nakata. (2021) Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization. Journal of Global Optimization 81:2, pages 493-528.
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Ruchika Sehgal & Aparna Mehra. (2019) Robust reward–risk ratio portfolio optimization. International Transactions in Operational Research 28:4, pages 2169-2190.
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Ruchika Sehgal & Aparna Mehra. (2021) Worst-case analysis of Gini mean difference safety measure. Journal of Industrial & Management Optimization 17:4, pages 1613.
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Michael Jong Kim. (2020) Variance Regularization in Sequential Bayesian Optimization. Mathematics of Operations Research 45:3, pages 966-992.
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Nikolas Topaloglou, Hercules Vladimirou & Stavros A. Zenios. (2020) Integrated dynamic models for hedging international portfolio risks. European Journal of Operational Research 285:1, pages 48-65.
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Luigi Grossi & Fabrizio Laurini. (2019) Robust asset allocation with conditional value at risk using the forward search. Applied Stochastic Models in Business and Industry 36:3, pages 335-352.
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Somayyeh Lotfi & Stavros A. Zenios. (2018) Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. European Journal of Operational Research 269:2, pages 556-576.
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Jun-ya Gotoh, Michael Jong Kim & Andrew E.B. Lim. (2018) Robust empirical optimization is almost the same as mean–variance optimization. Operations Research Letters 46:4, pages 448-452.
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Raghu Nandan Sengupta & Rakesh Kumar. (2017) Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem. Foundations of Computing and Decision Sciences 42:1, pages 83-117.
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Juite Wang. (2017) Structuring innovation funnels for R&D projects under uncertainty. R&D Management 47:1, pages 127-140.
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Zeynep Cobandag Guloglu & Gerhard Wilhelm Weber. 2017. Modeling, Dynamics, Optimization and Bioeconomics II. Modeling, Dynamics, Optimization and Bioeconomics II 133 145 .
Jianjun Gao & Weiping Wu. 2017. Optimization and Control for Systems in the Big-Data Era. Optimization and Control for Systems in the Big-Data Era 167 183 .
Yongqiao Wang, Chuangyin Dang & Shouyang Wang. (2015) Robust Novelty Detection via Worst Case CVaR Minimization. IEEE Transactions on Neural Networks and Learning Systems 26:9, pages 2098-2110.
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David Wozabal. (2014) Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach. Operations Research 62:6, pages 1302-1315.
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Shushang Zhu, Minjie Fan & Duan Li. (2014) Portfolio management with robustness in both prediction and decision: A mixture model based learning approach. Journal of Economic Dynamics and Control 48, pages 1-25.
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Jing Li & Mingxin Xu. (2013) Optimal Dynamic Portfolio with Mean-CVaR Criterion. Risks 1:3, pages 119-147.
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Nikolas Topaloglou, Hercules Vladimirou & Stavros A. Zenios. (2017) Integrated Dynamic Models for Hedging International Portfolio Risks. SSRN Electronic Journal.
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Jun-ya Gotoh, Michael Jong Kim & Andrew Lim. (2017) Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization. SSRN Electronic Journal.
Crossref
Jun-ya Gotoh & Michael Jong Kim. (2015) Robust Empirical Optimization is Almost the Same As Mean-Variance Optimization. SSRN Electronic Journal.
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Somayyeh Lotfi & Stavros A. Zenios. (2016) Equivalence of Robust VaR and CVaR Optimization. SSRN Electronic Journal.
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Cristian Homescu. (2014) Tail Risk Protection in Asset Management. SSRN Electronic Journal.
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Shushang Zhu, Minjie Fan & Duan Li. (2013) Portfolio Management with Dual Robustness in Prediction and Optimization: A Mixture Model Based Learning Approach. SSRN Electronic Journal.
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