Portfolio optimization with entropic value-at-risk-Reference-Cited by-同舟云学术

Portfolio optimization with entropic value-at-risk

Published:2019-11 Issue:1 Volume:279 Page:225-241
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Ahmadi-Javid Amir,Fallah-Tafti Malihe

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference58 articles.

1. An information-theoretic approach to constructing coherent risk measures;Ahmadi-Javid,2011

2. Entropic value-at-risk: A new coherent risk measure;Ahmadi-Javid;Journal of Optimization Theory and Applications,2012

3. Addendum to: Entropic value-at-risk: A new coherent risk measure;Ahmadi-Javid;Journal of Optimization Theory and Applications,2012

4. Application of information-type divergences to constructing multiple-priors and variational preferences;Ahmadi-Javid,2012

5. Application of entropic value-at-risk in machine learning with corrupted input data;Ahmadi-Javid,2012

Cited by 60 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Sparse portfolio optimization via ℓ1 over ℓ2 regularization;European Journal of Operational Research;2024-12

2. Adaptive robust online portfolio selection;European Journal of Operational Research;2024-09

3. Goal-based investing with goal postponement: multistage stochastic mixed-integer programming approach;Annals of Operations Research;2024-08-30

4. Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time;Mathematics;2024-07-20

5. Risk-driven optimal scheduling of renewable-oriented energy hub under demand response program and energy storages: A novel Entropic value-at-risk modeling;Sustainable Cities and Society;2024-07