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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Gao, Jianjun; Xiong, Yan; Li, Duan - In: European journal of operational research : EJOR 249 (2016) 2, pp. 647-656
Persistent link: https://www.econbiz.de/10011436797
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202
Persistent link: https://www.econbiz.de/10012820155
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Multistage stochastic optimization for private equity investments
Reus, Lorenzo; Mulvey, John M. - In: The journal of asset management 16 (2015) 5, pp. 342-362
Persistent link: https://www.econbiz.de/10011416619
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Debt portfolio management for an oil company under oil price uncertainty
Korotin, Vladimir; Ulchenkov, Arseniy; Islamov, Rustam - In: Computational economics 49 (2017) 2, pp. 289-306
Persistent link: https://www.econbiz.de/10011757594
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Optimal diversification, stochastic dominance, and sampling error
Mroua, Mourad; Abid, Fathi; Wong, Wing Keung - In: American journal of business : applying research to … 32 (2017) 1, pp. 48-79
Persistent link: https://www.econbiz.de/10011799619
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Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact
Kornilov, Nikita; Gasnikov, Alexander; Dvurechensky, Pavel - In: Computational management science 20 (2023) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014393407
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010258580