Deviation Measures in Risk Analysis and Optimization

By Tyrrel R Rockafellar, Stanislav Uryasev, Michael Zabarankin. 2002

213 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Soil Science

View Paper: https://www.semanticscholar.org/paper/cc8e30fa008308f3dff8dd78d41aabfc6505742f

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In Management Science and Operations Research

In Soil Science

Citations in the corpus

Master Funds in Portfolio Analysis with General Deviation Measures (2006, background): “These axioms come from our paper [23], where the notion of a general deviation measure was first formulated at this level.”
Generalized deviations in risk analysis (2006, methodology): “The term “risk envelope” was introduced in our working paper [22].”
Risk-averse dynamic programming for Markov decision processes (2010, background): “Particularly relevant for us are the duality theory [1] [10] [14] [16] [17] [34] [43] [45] [46], and the theory of conditional and dynamic risk measures [2] [8] [11] [15] [18] [19] [28] [38] [48] [40] [45] [47].”
On Complexity of Stochastic Programming Problems (2005, methodology): “In different frameworks this dual representation was derived in [ADEH99, FS02, RUZ02 , RS04a].”
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, background): “…of the definitions of risk contributions and risk impact, it makes sense to impose property (3.32c) on the underlying risk measure or even to require that it is a general deviation measure in the sense of Rockafellar et al. (2002). σc from Section 3.1 is a risk measure with property (3.32c).”
Convex Approximations of Chance Constrained Programs (2006, background): “Therefore it appears natural to consider “robust” or minimax versions of the chance constrained problems; for results in this direction, see [11, 29, 25, 26, 13] and references therein.”
ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “Indeed, under some conditions, Theorem 3.12 (Rockafellar et al. (2002, 2006)).”
Drawdown Measure in Portfolio Optimization (2005, unknown): “From theoretical perspective, drawdown measure satisfies the system of axioms determining deviation measures [22,23,24].”
Optimization of Convex Risk Functions (2006, methodology): “Recently, Rockafellar et al. [26] also developed an axiomatic approach to deviation measures.”
Equilibrium With Investors Using a Diversity of Deviation Measures (2007, unknown): “A systematic study was undertaken by us in [ 17 ], [19].”
Bringing Wind Energy to Market (2012, background): “In [34], the authors take an axiomatic approach to construct a class of deviation measures for which there is a one-to-one correspondence with a well-known class of functionals known as expectation-bounded risk measures.”
An enhanced model for portfolio choice with SSD criteria: a constructive approach (2011, methodology): “Rockafellar et al. (2002, 2006) present a systematic study of general deviation measures, and explore the connection between deviation measures and coherent risk measures.”