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Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

Evaluation of the impacts of governmental policies on the biofuels supply chain design under uncertainty

Kazemzadeh, Narges; Hu, Guiping - In: International journal of sustainable economy 7 (2015) 3, pp. 203-219

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Effects of higher order moments on the newsvendor problem

Sun, Qi; Dong, Yucheng; Xu, Weidong - In: International journal of production economics 146 (2013) 1, pp. 167-177

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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

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Risk management optimization for sovereign debt restructuring

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 6 (2015) 2, pp. 181-213

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"Dice"-sion–making under uncertainty : when can a random decision reduce risk?

Delage, Erick; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3282-3301

Persistent link: https://www.econbiz.de/10012039992

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

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Portfolio optimization with entropic value-at-risk

Ahmadi-Javid, Amir; Fallah-Tafti, Malihe - In: European journal of operational research : EJOR 279 (2019) 1, pp. 225-241

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Modeling time-dependent randomness in stochastic dual dynamic programming

Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661

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Controlling understaffing with conditional Value-at-Risk constraint for anintegrated nurse scheduling problem under patient demand uncertainty

He, Fang; Chaussaleta, Thierry; Qu, Rong - In: Operations research perspectives 6 (2019), pp. 1-19

Nursing workforce management is a challenging decision-making task in hospitals. The decisions are made across different timescales and levels from strategic long-term staffing budget to mid-term scheduling. These decisions are interconnected and impact each other, therefore are best taken by...

Persistent link: https://www.econbiz.de/10012029360