FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3130368429> ?p ?o ?g. }

• W3130368429 endingPage "7141" @default.
• W3130368429 startingPage "7113" @default.
• W3130368429 abstract "The theory of convex risk functions has now been well established as the basis for identifying the families of risk functions that should be used in risk-averse optimization problems. Despite its theoretical appeal, the implementation of a convex risk function remains difficult, because there is little guidance regarding how a convex risk function should be chosen so that it also well represents a decision maker’s subjective risk preference. In this paper, we address this issue through the lens of inverse optimization. Specifically, given solution data from some (forward) risk-averse optimization problem (i.e., a risk minimization problem with known constraints), we develop an inverse optimization framework that generates a risk function that renders the solutions optimal for the forward problem. The framework incorporates the well-known properties of convex risk functions—namely, monotonicity, convexity, translation invariance, and law invariance—as the general information about candidate risk functions, as well as feedback from individuals—which include an initial estimate of the risk function and pairwise comparisons among random losses—as the more specific information. Our framework is particularly novel in that unlike classical inverse optimization, it does not require making any parametric assumption about the risk function (i.e., it is nonparametric). We show how the resulting inverse optimization problems can be reformulated as convex programs and are polynomially solvable if the corresponding forward problems are polynomially solvable. We illustrate the imputed risk functions in a portfolio selection problem and demonstrate their practical value using real-life data. This paper was accepted by Yinyu Ye, optimization." @default.
• W3130368429 created "2021-03-01" @default.
• W3130368429 creator A5069476492 @default.
• W3130368429 date "2021-11-01" @default.
• W3130368429 modified "2023-10-12" @default.
• W3130368429 title "Inverse Optimization of Convex Risk Functions" @default.
• W3130368429 cites W1484551447 @default.
• W3130368429 cites W1591570634 @default.
• W3130368429 cites W1647779468 @default.
• W3130368429 cites W1966229055 @default.
• W3130368429 cites W1976406849 @default.
• W3130368429 cites W1979134936 @default.
• W3130368429 cites W1980314087 @default.
• W3130368429 cites W2003486810 @default.
• W3130368429 cites W2007619042 @default.
• W3130368429 cites W2010459116 @default.
• W3130368429 cites W2011964241 @default.
• W3130368429 cites W2014787744 @default.
• W3130368429 cites W2019291268 @default.
• W3130368429 cites W2020562184 @default.
• W3130368429 cites W2030344026 @default.
• W3130368429 cites W2046396733 @default.
• W3130368429 cites W2081081544 @default.
• W3130368429 cites W2089318869 @default.
• W3130368429 cites W2107308405 @default.
• W3130368429 cites W2109122936 @default.
• W3130368429 cites W2127000676 @default.
• W3130368429 cites W2136914524 @default.
• W3130368429 cites W2145996207 @default.
• W3130368429 cites W2196462312 @default.
• W3130368429 cites W2536620281 @default.
• W3130368429 cites W2565566557 @default.
• W3130368429 cites W2911796152 @default.
• W3130368429 cites W3121913816 @default.
• W3130368429 cites W3122520781 @default.
• W3130368429 cites W3125145310 @default.
• W3130368429 cites W4250589301 @default.
• W3130368429 cites W4293820388 @default.
• W3130368429 cites W65143201 @default.
• W3130368429 doi "https://doi.org/10.1287/mnsc.2020.3851" @default.
• W3130368429 hasPublicationYear "2021" @default.
• W3130368429 type Work @default.
• W3130368429 sameAs 3130368429 @default.
• W3130368429 citedByCount "6" @default.
• W3130368429 countsByYear W31303684292018 @default.
• W3130368429 countsByYear W31303684292021 @default.
• W3130368429 countsByYear W31303684292022 @default.
• W3130368429 countsByYear W31303684292023 @default.
• W3130368429 crossrefType "journal-article" @default.
• W3130368429 hasAuthorship W3130368429A5069476492 @default.
• W3130368429 hasBestOaLocation W31303684292 @default.
• W3130368429 hasConcept C10138342 @default.
• W3130368429 hasConcept C105795698 @default.
• W3130368429 hasConcept C112680207 @default.
• W3130368429 hasConcept C12108790 @default.
• W3130368429 hasConcept C126255220 @default.
• W3130368429 hasConcept C137836250 @default.
• W3130368429 hasConcept C148845407 @default.
• W3130368429 hasConcept C157972887 @default.
• W3130368429 hasConcept C162324750 @default.
• W3130368429 hasConcept C184898388 @default.
• W3130368429 hasConcept C202655437 @default.
• W3130368429 hasConcept C2524010 @default.
• W3130368429 hasConcept C2780821815 @default.
• W3130368429 hasConcept C33923547 @default.
• W3130368429 hasConcept C41008148 @default.
• W3130368429 hasConcept C5496284 @default.
• W3130368429 hasConcept C72134830 @default.
• W3130368429 hasConceptScore W3130368429C10138342 @default.
• W3130368429 hasConceptScore W3130368429C105795698 @default.
• W3130368429 hasConceptScore W3130368429C112680207 @default.
• W3130368429 hasConceptScore W3130368429C12108790 @default.
• W3130368429 hasConceptScore W3130368429C126255220 @default.
• W3130368429 hasConceptScore W3130368429C137836250 @default.
• W3130368429 hasConceptScore W3130368429C148845407 @default.
• W3130368429 hasConceptScore W3130368429C157972887 @default.
• W3130368429 hasConceptScore W3130368429C162324750 @default.
• W3130368429 hasConceptScore W3130368429C184898388 @default.
• W3130368429 hasConceptScore W3130368429C202655437 @default.
• W3130368429 hasConceptScore W3130368429C2524010 @default.
• W3130368429 hasConceptScore W3130368429C2780821815 @default.
• W3130368429 hasConceptScore W3130368429C33923547 @default.
• W3130368429 hasConceptScore W3130368429C41008148 @default.
• W3130368429 hasConceptScore W3130368429C5496284 @default.
• W3130368429 hasConceptScore W3130368429C72134830 @default.
• W3130368429 hasIssue "11" @default.
• W3130368429 hasLocation W31303684291 @default.
• W3130368429 hasLocation W31303684292 @default.
• W3130368429 hasOpenAccess W3130368429 @default.
• W3130368429 hasPrimaryLocation W31303684291 @default.
• W3130368429 hasRelatedWork W2003848856 @default.
• W3130368429 hasRelatedWork W2144899307 @default.
• W3130368429 hasRelatedWork W2531890813 @default.
• W3130368429 hasRelatedWork W2888855475 @default.
• W3130368429 hasRelatedWork W3003165794 @default.
• W3130368429 hasRelatedWork W3148441630 @default.
• W3130368429 hasRelatedWork W3196326125 @default.
• W3130368429 hasRelatedWork W3207673081 @default.

• next