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Stabilized column generation for the temporal knapsack problem using dual-optimal inequalities
Gschwind, Timo; Irnich, Stefan - In: OR spectrum : quantitative approaches in management 39 (2017) 2, pp. 541-556
Persistent link: https://www.econbiz.de/10011707141
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Extended omega ratio optimization for risk-averse investors
Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
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Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng - In: Operations research 66 (2018) 6, pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
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Worst-case analysis of Omega-VaR ratio optimization model
Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10013441559
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Optimization of Value-at-Risk : computational aspects of MIP formulations
Pavlikov, Konstantin; Veremyev, Alexander; Pasiliao, … - In: Journal of the Operational Research Society 69 (2018) 5, pp. 676-690
Persistent link: https://www.econbiz.de/10012225846
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The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160
Persistent link: https://www.econbiz.de/10011722990
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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Risk tomography
Prékopa, András; Lee, Jinwook - In: European journal of operational research : EJOR 265 (2018) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10011805383
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Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan; Mao, Tiantian - In: Insurance / Mathematics & economics 107 (2022), pp. 393-417
Persistent link: https://www.econbiz.de/10013471260