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Stochastic framework for carbon price risk estimation of real estate : a Markov switching GARCH simulation approach
Oertel, Cay; Kovaleva, Ekaterina; Gleißner, Werner; … - In: Journal of property investment & finance 40 (2022) 4, pp. 381-397
Persistent link: https://www.econbiz.de/10013370717
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Uncertainty representation and risk management for direct segmented marketing
Pachamanova, Dessislava A.; Lo, Victor S.; Gülpınar, … - In: Journal of marketing management : JMM ; journal of the … 36 (2020) 1/2, pp. 149-175
Persistent link: https://www.econbiz.de/10012178695
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A robust bi-objective uncertain green supply chain network management
Golpîra, Hêriş - In: Serbian journal of management : an international … 11 (2016) 2, pp. 211-222
minimizes the cost of the supply chain while the second objective function minimizes CO2 emission. Conditional Value at Risk … (CVaR) approach is adapted to deal with demand uncertainty and the stochastic CO2 emission level. Finally, the model outputs …
Persistent link: https://www.econbiz.de/10011637189
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Actuarial applications and estimation of extended CreditRisk+
Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29
. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …
Persistent link: https://www.econbiz.de/10011643397
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Optimal hedging : managing time and cost uncertainty in the stochastic time-cost-qualit tradeoff project scheduling problem
Pollack-Johnson, Bruce; Liberatore, Matthew J. - In: International journal of operations and quantitative … 27 (2021) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012663702
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Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
Escudero, Laureano F.; Garín, María Araceli; Monge, … - In: European journal of operational research : EJOR 285 (2020) 3, pp. 988-1001
Persistent link: https://www.econbiz.de/10012239827
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On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 100 (2018), pp. 270-286
Persistent link: https://www.econbiz.de/10011930621
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Technical note : stochastic optimization with decisions truncated by positively dependent random variables
Chen, Xin; Gao, Xiangyu - In: Operations research 67 (2019) 5, pp. 1321-1327
Persistent link: https://www.econbiz.de/10012107775
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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 almost robust model for minimizing disruption exposures in supply systems
Zhao, Kena; Ng, Tsan Sheng Adam; Tan, Chin Hon; Pang, … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 547-559
Persistent link: https://www.econbiz.de/10013205967