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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001

Multilevel optimization modeling for risk-averse stochastic programming

Eckstein, Jonathan; Eskandani, Deniz; Fan, Jingnan - In: INFORMS journal on computing : JOC 28 (2016) 1, pp. 112-128

Persistent link: https://www.econbiz.de/10011453805

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

Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty

Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202

Persistent link: https://www.econbiz.de/10012820155

Assessment of financial risk in the design and scheduling of multipurpose plants under demand uncertainty

Vieira, Miguel; Paulo, Helena; Pinto-Varela, Tânia; … - In: International journal of production research 59 (2021) 20, pp. 6125-6145

Persistent link: https://www.econbiz.de/10012652703

Risk return trade-off in relaxed risk parity portfolio optimization

Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28

This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …

Persistent link: https://www.econbiz.de/10012387965