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Tail risk and robust portfolio decisions
Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275
Persistent link: https://www.econbiz.de/10012581376
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From data to decisions : distributionally robust optimization is optimal
Parys, Bart P. G. van; Mohajerin Esfahani, Peyman; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3387-3402
Persistent link: https://www.econbiz.de/10012606903
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Distributionally robust conditional quantile prediction with fixed design
Qi, Meng; Cao, Ying; Shen, Zuo-Jun - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1639-1658
Persistent link: https://www.econbiz.de/10013259976
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Near-optimal Bayesian ambiguity sets for distributionally robust optimization
Gupta, Vishal - In: Management science : journal of the Institute for … 65 (2019) 9, pp. 4242-4260
Persistent link: https://www.econbiz.de/10012118557
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Distributionally robust selection of the best
Fan, Weiwei; Hong, L. Jeff; Zhang, Xiaowei - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 190-208
Persistent link: https://www.econbiz.de/10012156573
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Supermodularity in two-stage distributionally robust optimization
Long, Daniel Zhuoyu; Qi, Jin; Zhang, Aiqi - In: Management science : journal of the Institute for … 70 (2024) 3, pp. 1394-1409
Persistent link: https://www.econbiz.de/10014515030
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Distributionally robust batch contextual bandits
Si, Nian; Zhang, Fan; Zhou, Zhengyuan; Blanchet, Jose - In: Management science : journal of the Institute for … 69 (2023) 10, pp. 5772-5793
Persistent link: https://www.econbiz.de/10014392981
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
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Monitoring value-at-risk and expected shortfall forecasts
Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971
Persistent link: https://www.econbiz.de/10014305469
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The midweight method to measure attitudes toward risk and ambiguity
Kuilen, Gijs van de; Wakker, Peter P. - In: Management science : journal of the Institute for … 57 (2011) 3, pp. 582-598
Persistent link: https://www.econbiz.de/10008988402