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Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties
Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2023
Persistent link: https://www.econbiz.de/10014417933
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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Sampling-based approximation schemes for capacitated stochastic inventory control models
Cheung, Wang Chi; Simchi-Levi, David - In: Mathematics of operations research 44 (2019) 2, pp. 668-692
Persistent link: https://www.econbiz.de/10012028641
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Sample average approximation for a two-echelon inventory system with service-level constraints
Tsai, Shing Chih; Ho, I-Ying - In: Journal of the Operational Research Society 70 (2019) 4, pp. 675-688
Persistent link: https://www.econbiz.de/10012212911
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
A simple methodology is presented for modeling time variation in volatilities and other higher-order moments using a recursive updating scheme similar to the familiar RiskMetricsTM approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics...
Persistent link: https://www.econbiz.de/10011332948
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Risk measures in optimization problems via empirical estimates
Kaňková, Vlasta - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 162-177
Persistent link: https://www.econbiz.de/10010341116
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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CVaR (superquantile) norm : stochastic case
Mafusalov, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 249 (2016) 1, pp. 200-208
Persistent link: https://www.econbiz.de/10011435796