Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness
S Küçükyavuz, R Jiang - EURO Journal on Computational Optimization, 2022 - Elsevier
Chance-constrained programming (CCP) is one of the most difficult classes of optimization
problems that has attracted the attention of researchers since the 1950s. In this survey, we …
problems that has attracted the attention of researchers since the 1950s. In this survey, we …
[PDF][PDF] Chance-constrained optimization: A review of mixed-integer conic formulations and applications
S Küçükyavuz, R Jiang - arXiv preprint arXiv:2101.08746, 2021 - researchgate.net
Chance-constrained programming (CCP) is one of the most difficult classes of optimization
problems that has attracted the attention of researchers since the 1950s. In this survey, we …
problems that has attracted the attention of researchers since the 1950s. In this survey, we …
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
Exponential dispersion models are well used and studied in quantitative risk management
and actuarial science. One of the main interests is the risk measurement analysis of such …
and actuarial science. One of the main interests is the risk measurement analysis of such …
A new coherent multivariate average-value-at-risk
K Uğurlu - Optimization, 2023 - Taylor & Francis
A new operator for handling the joint risk of different sources has been presented and its
various properties are investigated. The problem of risk evaluation of multivariate risk …
various properties are investigated. The problem of risk evaluation of multivariate risk …
A multivariate CVaR risk measure from the perspective of portfolio risk management
In this paper, we define a new multivariate conditional Value-at-Risk (MCVaR) risk measure.
This MCVaR considers both individual risks and the aggregate risk of a portfolio, but …
This MCVaR considers both individual risks and the aggregate risk of a portfolio, but …
On Risk Evaluation and Control of Distributed Multi-agent Systems
A Almen, D Dentcheva - Journal of Optimization Theory and Applications, 2024 - Springer
In this paper, we deal with risk evaluation and risk-averse optimization of complex
distributed systems with general risk functionals. We postulate a novel set of axioms for the …
distributed systems with general risk functionals. We postulate a novel set of axioms for the …
Bayesian optimization in adverse scenarios
S Daulton - 2023 - ora.ox.ac.uk
Optimization problems with expensive-to-evaluate objective functions are ubiquitous in
scientific and industrial settings. Bayesian optimization has gained widespread acclaim for …
scientific and industrial settings. Bayesian optimization has gained widespread acclaim for …
Risk-averse optimization in multicriteria and multistage decision making
M Merakli - 2018 - digital.lib.washington.edu
Risk-averse stochastic programming provides means to incorporate a wide range of risk
attitudes into decision making. Pioneered by the advances in financial optimization, several …
attitudes into decision making. Pioneered by the advances in financial optimization, several …
Assessing the power of VaR: new empirical evidence
A Rusu - International Journal of Financial Markets and …, 2018 - inderscienceonline.com
Risk and uncertainty are concepts found in every financial environment. In order to
anticipate and prevent their losses, financial market participants use various measures to …
anticipate and prevent their losses, financial market participants use various measures to …
Multivariate Risk Measures for Portfolio Risk Management
H Jia - 2021 - uwspace.uwaterloo.ca
In portfolio risk management, the main foci are to control the aggregate risk of the entire
portfolio and to understand the contribution of each individual risk unit in the portfolio to the …
portfolio and to understand the contribution of each individual risk unit in the portfolio to the …