Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
- Author
- LI CHEN1 ; SIMAI HE2 ; SHUZHONG ZHANG3
[1] Department of Systems Engineering and Engineering Management. The Chinese University of Hong Kong, Shatin, Hong-Kong
[2] Department of Management Sciences, City University of Hong Kong, Kowloon Tong, Hong-Kong
[3] Industrial and Systems Engineering Program, University of Minnesota, Minneapolis, Minnesota 55455, United States - Source
Operations research. 2011, Vol 59, Num 4, pp 847-865, 19 p ; ref : 3/4 p
- CODEN
- OPREAI
- ISSN
- 0030-364X
- Scientific domain
- Control theory, operational research
- Publisher
- Institute for Operations Research and the Management Sciences, Hanover, MD
- Publication country
- United States
- Document type
- Article
- Language
- English
- Author keyword
- Chebyshev inequality S-shaped function portfolio selection robust optimization
- Keyword (fr)
- Ajustement modèle Ambiguité Analyse risque Approche probabiliste Bourse valeurs Complexité calcul Estimation moyenne Fonction aléatoire Fonction quadratique Garantie contre risque Gestion financière Gestion portefeuille Gestion risque Investissement Modélisation Optimisation Polynôme Tchebychev Problème NP difficile Problème sélection Programmation convexe Programmation semi définie Quantile Robustesse Sélection modèle Sélection portefeuille Théorie décision hazardeuse Utilité attendue
- Keyword (en)
- Model matching Ambiguity Risk analysis Probabilistic approach Stock exchange Computational complexity Mean estimation Random function Quadratic function Warranty Financial management Portfolio management Risk management Investment Modeling Optimization Chebyshev polynomial NP hard problem Selection problem Convex programming Semi definite programming Quantile Robustness Model selection Portfolio selection Prospect theory Expected utility
- Keyword (es)
- Ajustamiento modelo Ambiguedad Análisis riesgo Enfoque probabilista Bolsa valores Complejidad computación Estimación promedio Función aleatoria Función cuadrática Garantía contra riesgo Administración financiera Gestión cartera Gestión riesgo Inversión Modelización Optimización Polinomio Chebychev Problema NP duro Problema selección Programación convexa Programacíon semi definida Cuantila Robustez Selección modelo Selección cartera Teoría decisión bajo riesgo Utilidad espera
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A08 Decision theory. Utility theory
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A09 Risk theory. Actuarial science
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Mathematics Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 24552898
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1287/opre.1110.0950 
https://dx.doi.org/10.1287/opre.1110.0950
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