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New algorithmic framework for conditional value at risk : application to stochastic fixed-charge transportation
Fernández, Elena; Hinojosa, Yolanda; Puerto, Justo; … - In: European journal of operational research : EJOR 277 (2019) 1, pp. 215-226
Persistent link: https://www.econbiz.de/10012014841
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Expected shortfall : heuristics and certificates
Ramponi, Federico Alessandro; Campi, Marco C. - In: European journal of operational research : EJOR 267 (2018) 3, pp. 1003-1013
Persistent link: https://www.econbiz.de/10011812858
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A risk management system for sustainable fleet replacement
Ansaripoor, Amir H.; Oliveira, Fernando S.; Liret, Anne - In: European journal of operational research : EJOR 237 (2014) 2, pp. 701-712
Persistent link: https://www.econbiz.de/10010379953
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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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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Portfolio optimization with entropic value-at-risk
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
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Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications for finance
Fábián, Csaba I.; Veszprémi, Anna - In: Journal of risk 10 (2007/08) 3, pp. 111-131
Persistent link: https://www.econbiz.de/10003698911