Portfolio optimization with conditional value-at-risk objective and constraints

By Pavlo A. Krokhmal, tanislav Uryasev, Jonas Palmquist. 2001

748 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/946a347d482fac2692fe795244455302ab2af547

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In Economics and Econometrics

In Finance

In Management Science and Operations Research

Citations in the corpus

What are robust strategies in the face of uncertain climate threshold responses? (2012, methodology): “Note that the analysis of Krokhmal et al. (2002) [Theorem 3] implies that if E[W] and E[W0.”
A Review of Safe Reinforcement Learning: Methods, Theory and Applications (2022, background): “transportation schedule [22, 53, 159, 253], traffic signal control [50, 59], energy management [180], wireless security [172], satellite docking [76], edge computing [299], chemical processes [241], video games [28, 153, 192, 211, 262, 300], board games of Go, shogi, chess and arcade game PAC-MAN [1”
Constrained Reinforcement Learning Has Zero Duality Gap (2019, background): “CMDP applications cover a vast number of topics, such as: electric grids [14], networking [15], robotics [3, 16, 17] and finance [18, 19].”
Incorporating risk measures in closed-loop supply chain network design (2014, background): “…this claim can be excellent theoretical and practical background of incorporating such risk measures in financial optimisation in utilising risk measures (Alexander, Coleman, and Li 2006; Benati 2003; Konno and Yamazaki 1991; Krokhmal, Palmquist, and Uryasev 2002; Markowitz 1952; Yau et al. 2011).”
Portfolio Optimization with Drawdown Constraints (2000, neutral): “In formulating the optimization problems with CDaR constraints and reducing it to a linear programming problem, we follow ideas presented in the paper [11].”
Reward Constrained Policy Optimization (2018, background): “CMDP applications cover a vast number of topics, such as: electric grids (Koutsopoulos and Tassiulas, 2011), networking (Hou and Zhao, 2017), robotics (Chow et al., 2015; Gu et al., 2017; Achiam et al., 2017; Dalal et al., 2018) and ﬁnance (Krokhmal et al., 2002; Tamar et al., 2012).”