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Vector-valued multivariate conditional value-at-risk
Meraklı, Merve; Küçükyavuz, Simge - In: Operations research letters 46 (2018) 3, pp. 300-305
Persistent link: https://www.econbiz.de/10011873363
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A trade execution model under a composite dynamic coherent risk measure
Lin, Qihang; Chen, Xi; Peña, Javier - In: Operations research letters 43 (2015) 1, pp. 52-58
Persistent link: https://www.econbiz.de/10010486353
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Market price-based convex risk measures : a distribution-free optimization approach
Li, Jonathan Y.; Kwon, Roy H. - In: Operations research letters 40 (2012) 2, pp. 128-133
Persistent link: https://www.econbiz.de/10009507888
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Bounds for nested law invariant coherent risk measures
Xin, Linwei; Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 431-435
Persistent link: https://www.econbiz.de/10009716584
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Monotone trends in inventory-price control under time-consistent coherent risk measure
Yang, Jian - In: Operations research letters 45 (2017) 3, pp. 293-299
Persistent link: https://www.econbiz.de/10011719352
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A note on optimal risk sharing on image spaces
Kromer, Eduard; Overbeck, Ludger - In: Operations research letters 44 (2016) 2, pp. 202-208
Persistent link: https://www.econbiz.de/10011457296
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Hedging-based utility risk measure customized for individual investors
Dong, Linjia; Yang, Zhaojun - In: Operations research letters 50 (2022) 5, pp. 509-512
Persistent link: https://www.econbiz.de/10013449436
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Star-Shaped deviations
Righi, Marcelo Brutti; Moresco, Marlon Ruoso - In: Operations research letters 50 (2022) 5, pp. 548-554
Persistent link: https://www.econbiz.de/10013449444
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Almost exact risk budgeting with return forecasts for portfolio allocation
Bhardwaj, Avinash; Hanawal, Manjesh K.; Parthasarathy, … - In: Operations research letters 51 (2023) 2, pp. 171-175
Persistent link: https://www.econbiz.de/10014311844