Master Funds in Portfolio Analysis with General Deviation Measures
By R. Tyrrell Rockafellar, Stanislav Uryasev, Michael Zabarankin. 2006
142 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/c907197195fb1eb82b56caf1935e989395e4c766
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In Finance
In Management Science and Operations Research
Citations in the corpus
- Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008, background): “[22] investigated in detail the consequences of substituting the standard deviation in the setting of classical theory with general deviation measures, in cases where rates of return may have discrete distributions, mixed discrete-continuous distributions (which can arise from derivatives, such as o”
- Equilibrium With Investors Using a Diversity of Deviation Measures (2007, unknown): “Moreover a corresponding extension of the concept of master fund then plays a significant role; see Rockafellar et al. (2005).”
- Optimal Financial Portfolios (2007, unknown): “For example, one can use the class of deviation measures, see Rockafellar et al. (2005) and Rockafellar et al. (2006).”
- Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach (2015, unknown): “, [21, 11, 6]) and the recent approaches for CVaR optimization in MDPs [4, 8, 5, 25].”