Markowitz's portfolio selection model has been the biggest step-forward in financial decision
making and has been the central point of research since its inception. The mean–variance …

Random variables that stand for cost, loss or damage must be confronted in numerous
situations. Dealing with them systematically for purposes in risk management, optimization …

Learning models with uniform performance via distributionally robust optimization Page 1 The
Annals of Statistics 2021, Vol. 49, No. 3, 1378–1406 https://doi.org/10.1214/20-AOS2004 © …

We study statistical inference and distributionally robust solution methods for stochastic
optimization problems, focusing on confidence intervals for optimal values and solutions that …

Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …

This paper surveys the most recent advances in the context of decision making under
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …

Recent development in the data-driven decision science has seen great advances in
individualized decision making. Given data with individual covariates, treatment …

Even when unable to run experiments, practitioners can evaluate prospective policies, using
previously logged data. However, while the bandits literature has adopted a diverse set of …

We address the statistical estimation of composite functionals which may be nonlinear in the
probability measure. Our study is motivated by the need to estimate coherent measures of …

In this paper, we compare risk measures regarding performance of optimal portfolio
strategies. We consider eleven risk measures from different classes. In particular, we …