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A nested cross decomposition algorithm for power system capacity expansion with multiscale uncertainties
Huang, Zhouchun; Zheng, Qipeng P.; Liu, Andrew L. - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 1919-1939
Persistent link: https://www.econbiz.de/10013362504
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FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...
Persistent link: https://www.econbiz.de/10011598919
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Downside risk in multiperiod tracking error models
Barro, Diana; Canestrelli, Elio - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 263-283
Persistent link: https://www.econbiz.de/10010356930
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An integrated approach for water resources decision making under interactive and compound uncertainties
Wang, S.; Huang, G. H. - In: Omega : the international journal of management science 44 (2014), pp. 32-40
Persistent link: https://www.econbiz.de/10010243958
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Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154
Persistent link: https://www.econbiz.de/10010247347
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Construction of risk-averse enhanced index funds
Lejeune, Miguel A.; Samatlı-Paç, Gülay - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 701-719
Persistent link: https://www.econbiz.de/10010203600
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Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989
Persistent link: https://www.econbiz.de/10011445359
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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
Persistent link: https://www.econbiz.de/10011453805
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Electric sector capacity planning under uncertainty : climate policy and natural gas in the US
Bistline, John E. - In: Energy economics 51 (2015), pp. 236-251
Persistent link: https://www.econbiz.de/10011564838
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Task assignment under uncertainty : stochastic programming and robust optimisation approaches
Zhen, Lu - In: International journal of production research 53 (2015) 5, pp. 1487-1502
Persistent link: https://www.econbiz.de/10010500811