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Efficient simulation of value at risk with heavy-tailed risk factors
Fuh, Cheng-der; Hu, Inchi; Hsu, Ya-hui; Wang, Ren-her - In: Operations research 59 (2011) 6, pp. 1395-1406
Persistent link: https://www.econbiz.de/10009487167
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Risk estimation via regression
Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
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Simulating risk contributions of credit portfolios
Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
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Computational methods for risk-averse undiscounted transient Markov models
Çavuş, Özlem; Ruszczyński, Andrzej P. - In: Operations research 62 (2014) 2, pp. 401-417
Persistent link: https://www.econbiz.de/10010361418
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Robustifying convex risk measures for linear portfolios : a nonparametric approach
Wozabal, David - In: Operations research 62 (2014) 6, pp. 1302-1315
Persistent link: https://www.econbiz.de/10010471862
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Robustness in the optimization of risk measures
Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
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On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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Risk in large claims insurance market with bipartite graph structure
Kley, Oliver; Klüppelberg, Claudia; Reinert, Gesine - In: Operations research 64 (2016) 5, pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
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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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Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486
Persistent link: https://www.econbiz.de/10011845995