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A new optimisation framework based on Monte Carlo embedded hybrid variant mean-variance mapping considering uncertainties

Norhafidzah Mohd Saad; Sujod, Muhamad Zahim; Mohd … - In: Decision analytics journal 10 (2024), pp. 1-19

(RDN). The Active Power Loss (APL) index was calculated considering the risk of uncertain photovoltaic generation and urban … optimised under uncertainty. The APL indexes with three PVDG installations in the 33-bus RDN for residential, commercial, and … without PVDG. The findings showed that uncertainty significantly impacted the optimal location and size of PVDG in the RDN. …

Persistent link: https://www.econbiz.de/10014533468

Incorporation price uncertainty into open-pit to underground mine transition

Dehghani, Hesam; Sakinezhad, Reza; Nabavi, Zohre; … - In: Mineral economics : raw materials report 37 (2024) 1, pp. 89-99

Persistent link: https://www.econbiz.de/10014536717

Convex Risk Measures : Efficient Computations via Monte Carlo

Hu, Zhaolin - 2016

With the development of financial risk management, the notion of convex risk measures has been proposed and has gained … more and more attentions. Utility-based shortfall risk (SR), as a specific and important class of convex risk measures, has … but fundamental for risk assessment and management. We discuss efficient estimation of SR, sensitivity analysis of SR, as …

Persistent link: https://www.econbiz.de/10012995470

Risk measures in simulation-based business valuation : classification of risk measures in risk axiom systems and application in valuation practice

Ernst, Dietmar - In: Risks : open access journal 11 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014232597

Impact of aleatoric, stochastic and epistemic uncertainties on project cost contingency reserves

Curto, D.; Acebes, F.; González-Varona, J. M.; Poza, David - In: International journal of production economics 253 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013448506

Variance reduction for risk measures with importance sampling in nested simulation

Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673

Persistent link: https://www.econbiz.de/10013367849

A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil

Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468

Persistent link: https://www.econbiz.de/10013345666

Market and model risks : a feasible joint estimate methodology

González Sánchez, Mariano; Ibáñez Jiménez, Eva M.; … - In: Risk management : an international journal 24 (2022) 3, pp. 187-213

Persistent link: https://www.econbiz.de/10013387552

Determination of optimal production rate under price uncertainty : Sari Gunay gold mine, Iran

Sohrabi, Parviz; Dehghani, Hesam; Jodeiri Shokri, Behshad - In: Mineral economics : raw materials report 35 (2022) 2, pp. 187-201

Persistent link: https://www.econbiz.de/10013387614

Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280