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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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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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Target-based distributionally robust optimization for single machine scheduling
Pei, Zhi; Lu, Haimin; Jin, Qingwei; Zhang, Lianmin - In: European journal of operational research : EJOR 299 (2022) 2, pp. 420-431
Persistent link: https://www.econbiz.de/10013207112
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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Reverse sensitivity testing : what does it take to break the model?
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas - In: European journal of operational research : EJOR 274 (2019) 2, pp. 654-670
Persistent link: https://www.econbiz.de/10011990176
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Hedging Conditional Value at Risk with options
Capiński, Maciej - In: European journal of operational research : EJOR 242 (2015) 2, pp. 688-691
Persistent link: https://www.econbiz.de/10010491633
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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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Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Babat, Onur; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 304-315
Persistent link: https://www.econbiz.de/10011811697
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Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern; Li, Youwei; Pantelous, Athanasios A.; … - In: European journal of operational research : EJOR 293 (2021) 2, pp. 786-801
Persistent link: https://www.econbiz.de/10012513273