Risk parity: An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses.
Nasrin Mohabbati-KalejahiAlexander VinelPublished in: J. Oper. Res. Soc. (2023)
Keyphrases
- risk averse
- heavy tailed
- stochastic optimization
- risk neutral
- stochastic programming
- multistage
- risk aversion
- heavy tails
- utility function
- robust optimization
- decision makers
- generalized gaussian
- portfolio management
- risk sensitive
- expected utility
- prior distribution
- artificial intelligence
- bayesian inference
- linear program
- sufficient conditions
- decision making