, by incorporating the conditional value at risk (CVaR), the risk induced by uncertain demand is explicitly considered. The … resulting nonlinear model formulation is approximated by a piecewise linearization. Our numerical investigation shows that the …

minimizes the cost of the supply chain while the second objective function minimizes CO2 emission. Conditional Value at Risk …

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model … population distribution.Our approach is related to the theory of optimal transport and exhibits superior statistical … andcomputational properties than existing models. We find that, for a large class of risk measures,mean-covariance robust portfolio …

incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our … robust optimization. For this optimization, we prove that the worst-case coherent risk measure can be decomposed into the … empirical risk measure and the penalty terms. Numerical results demonstrate that when the number of assets is small, linear …