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Sample average approximation of CVaR-based hedging problem with a deep-learning solution

Peng, Cheng; Li, Shuang; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821981

The effect of regularization in portfolio selection problems

Pagnoncelli, Bernardo K.; Canto, Felipe del; Cifuentes, … - In: Top : an official journal of the Spanish Society of … 29 (2021) 1, pp. 156-176

Persistent link: https://www.econbiz.de/10012498983

Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk

Rezaei, Shahrbanoo; Ghalehkhondabi, Iman; Rafiee, Majid; … - In: Opsearch : journal of the Operational Research Society … 57 (2020) 3, pp. 908-934

Persistent link: https://www.econbiz.de/10012302376

Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system

Tong, X.J.; Xu, H.; Wu, F. F.; Zhao, Z. - In: Computational Management Science : CMS 13 (2016) 3, pp. 393-422

Persistent link: https://www.econbiz.de/10011669303

Utility-based shortfall risk : efficient computations via Monte Carlo

Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392

Persistent link: https://www.econbiz.de/10011969327

Risk averse shortest paths : a computational study

Chicoisne, Renaud; Ordóñez, Fernando; Espinoza, Daniel - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 539-553

Persistent link: https://www.econbiz.de/10011948091

Data-driven satisficing measure and ranking

Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474

Persistent link: https://www.econbiz.de/10012216628

A risk-averse location-protection problem under intentional facility disruptions : a modified hybrid decomposition algorithm

Jalali, Sajjad; Seifbarghy, Mehdi; Niaki, Seyed Taghi … - In: Transportation research / E : an international journal 114 (2018), pp. 196-219

Persistent link: https://www.econbiz.de/10011870632

Simulating risk contributions of credit portfolios

Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10010519509

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502