Probabilistic constrained optimization : methodology and applications

By Stanislav Uryasev. 2000

225 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8dcae9385f0cff49f827acfc68f21abc3005f323

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Citations in the corpus

Different Approaches to Risk Estimation in Portfolio Theory (2004, background): “Yitzhaki [1982] and Shalit and Yitzhaki [1984] have proposed a mean-Gini portfolio selection theory that is consistent with a stochastic dominance rule and presents many analogies with mean-variance analysis.”
Financial prediction with constrained tail risk (2007, background): “One of these is the notion of a coherent risk measure, an example of which is CVaR (Rockafellar and Uryasev, 2000, 2002), constituting a computationally attractive alternative to VaR.”
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008, background): “For more details about the linearization, see Rockafellar and Uryasev (2002). Clearly, as we have noted, the dimension of the optimization problem increases as we simplify the problem structure.”
Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure (2014, unknown): “imality is satisﬁed. Unfortunately, almost all static risk measures which investors have been comfortably adopting in practice for decades, including the variance, VaR (Duﬃe and Pan (1997)) and CVaR (Uryasev (2000)), are not time consistent when being extended to dynamic situations (Boda and Filar (”
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2012, background): “…criterion (Markowitz 1952; Stefani and Szegö 1976), mean-Gini measure (Shalit and Yitzhaki 1984), measure of absolute deviation (Konno and Yamazaki 1991; Zenios and Kang 1993; Speranza 1993), value-at-risk (VaR) (Duffie and Pan 1997), and conditional value-at-risk (CVaR) (Bawa 1978; Uryasev 2000).”
CVaR models with selective hedging for international asset allocation (2002, methodology): “Several recent studies have applied CVaR for portfolio selection in various applications (for example , Anderson et al., 2001; Rockafellar and Uryasev, 2000, 2002).”
Spectral measures of risk: A coherent representation of subjective risk aversion (2002, background): “It was recently discovered (Acerbi et al., 2001; Acerbi and Tasche, 2001, 2002; Rockafellar and Uryasev, 2000, 2001) that the a-expected shortfall ESðaÞ, correctly defined as the ‘‘average of the a100% worst losses’’ of a portfolio is a coherent risk measure 1 for any chosen confidence level a 2…”
Conditional value at risk and related linear programming models for portfolio optimization (2007, background): “The weighted CVaR objective was first introduced by Ogryczak, 2000) (not using the name CVaR introduced later by Rockafellar and Uryasev, 2000); the portfolio optimization model based on historical data and its LP computability was then proven.”