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The value of perfect information as a risk measure

Pflug, Georg - In: Dynamic stochastic optimization : [this volume includes …, (pp. 275-291). 2004

Persistent link: https://www.econbiz.de/10003488178

Multistage stochastic decision problems : approximation by recursive structures and ambiguity modeling

Pflug, Georg - In: European journal of operational research : EJOR 306 (2023) 3, pp. 1027-1039

Persistent link: https://www.econbiz.de/10014279689

Ambiguity in portfolio selection

Pflug, Georg; Wozabal, David - In: Quantitative fund management, (pp. 377-391). 2009

Persistent link: https://www.econbiz.de/10003797018

The 1/N investment strategy is optimal under high model ambiguity

Pflug, Georg; Pichler, Alois; Wozabal, David - In: Journal of banking & finance 36 (2012) 2, pp. 410-417

Persistent link: https://www.econbiz.de/10009511313

On distributionally robust multiperiod stochastic optimization

Analui, Bita; Pflug, Georg - In: Computational Management Science : CMS 11 (2014) 3, pp. 197-220

Persistent link: https://www.econbiz.de/10010385634

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10012239492

Distributionally robust optimization with multiple time scales : valuation of a thermal power plant

Ackooij, Wim van; Escobar, Debora Daniela; Glanzer, Martin - In: Computational management science 17 (2020) 3, pp. 357-385

Persistent link: https://www.econbiz.de/10012308484

Incorporating model uncertainty into optimal insurance contract design

Pflug, Georg; Hung, Mao-Wei - In: Insurance / Mathematics & economics 73 (2017), pp. 68-74

Persistent link: https://www.econbiz.de/10011702048

Optimal XL-insurance under Wasserstein-type ambiguity

Birghila, Corina; Pflug, Georg - In: Insurance / Mathematics & economics 88 (2019), pp. 30-43

Persistent link: https://www.econbiz.de/10012105357

Coping with Uncertainty : Modeling and Policy Issues

Marti, Kurt; Ermol'ev, Jurij M.; Makowski, Marek; … - 2006

Ongoing global changes pose fundamentally new scientific problems requiring new concepts and tools. A key issue concerns a vast variety of practically irreducible uncertainties, which challenge traditional models and require new concepts and analytical tools. Uncertainty can dominate, as in the...

Persistent link: https://www.econbiz.de/10013520564