Concepedia

Tail Risk Optimization

Tail Risk Optimization is a portfolio optimization framework that belongs to the class of risk-aware investment strategies and is distinguished by its explicit focus on minimizing the likelihood and impact of extreme downside returns in the tail of the return distribution.

17

Publications

1.1K

Citations

44

Authors

25

Institutions

Publications per year

2017–2026

7

Parents

Publications

17

Portfolio optimization with return prediction using deep learning and machine learning

Yilin Ma, Ruizhu Han, Weizhong Wang · Expert Systems with Applications · 2020 · 289 citations

, , +17

A mean-absolute deviation-skewness portfolio optimization model

Hiroshi Konno, Hiroshi Shirakawa, Hiroaki Yamazaki · Annals of Operations Research · 1993 · 253 citations

, , +12

The Impact of Skewness and Fat Tails on the Asset Allocation Decision

James X. Xiong, Thomas M. Idzorek · Financial Analysts Journal · 2011 · 127 citations

, , +17

Financial prediction with constrained tail risk

A. Alexandre Trindade, Stan Uryasev, Alexander Shapiro et al. · Journal of Banking & Finance · 2007 · 72 citations

, , +14

On optimal portfolio diversification with respect to extreme risks

Georg Mainik, Ludger Rüschendorf · Finance and Stochastics · 2010 · 63 citations

, , +12

1–5 of 17

Authors

44

  1. LR
    Ludger Rüschendorf

    University of Freiburg, Germany

    2 publications · 107 citations

    2

    h-index

  2. GM
    Georg Mainik

    ETH Zurich, Switzerland

    2 publications · 107 citations

    2

    h-index

  3. HK
    Hiroshi Konno

    Tokyo Institute of Technology, Japan

    2 publications · 273 citations

    2

    h-index

  4. TM
    Thomas M. Idzorek

    Yale University, United States

    1 publications · 127 citations

    1

    h-index

  5. SY
    Shu Yan

    Oklahoma State University, United States

    1 publications · 18 citations

    1

    h-index

1–5 of 44

Institutions

25

  1. University of Freiburg

    Freiburg im Breisgau, Germany

    2 h-index

    3 publications

    170 citations

  2. North Dakota State University

    Fargo, United States

    1 h-index

    4 publications

    56 citations

  3. Georgia Institute of Technology

    Atlanta, United States

    1 h-index

    1 publications

    72 citations

  4. George Washington University

    Washington, United States

    1 h-index

    1 publications

    18 citations

  5. Sabancı Üniversitesi

    Istanbul, Türkiye

    1 h-index

    2 publications

    86 citations

  6. Applied Research Associates

    Christchurch, New Zealand

    1 h-index

    1 publications

    127 citations

  7. University of Johannesburg

    Johannesburg, South Africa

    1 h-index

    2 publications

    30 citations

  8. University of Tsukuba

    Tsukuba, Japan

    1 h-index

    1 publications

    253 citations

1–8 of 25

Venues

  1. Annals of Operations Research

    2 publications · 302 citations

    2

    h-index

  2. Journal of Banking & Finance

    2 publications · 90 citations

    2

    h-index

  3. Finance and Stochastics

    1 publications · 63 citations

    1

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 1 publications · 20 citations

    1

    h-index

  5. Expert Systems with Applications

    1 publications · 289 citations

    1

    h-index

1–5