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Stabilized column generation for the temporal knapsack problem using dual-optimal inequalities
Gschwind, Timo; Irnich, Stefan - In: OR spectrum : quantitative approaches in management 39 (2017) 2, pp. 541-556
Persistent link: https://www.econbiz.de/10011707141
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Extended omega ratio optimization for risk-averse investors
Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
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Geometrical framework for robust portfolio optimization
Bazovkin, Pavel - 2014
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the...
Persistent link: https://www.econbiz.de/10010407976
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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
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Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng - In: Operations research 66 (2018) 6, pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
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Worst-case analysis of Omega-VaR ratio optimization model
Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10013441559
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency
Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35
-at-risk (cVaR) by means of nested Monte Carlo (MC) simulations. We do so by combining theory and software/hardware implementation …
Persistent link: https://www.econbiz.de/10011556579
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Computational dynamic market risk measures in discrete time setting
Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354
Persistent link: https://www.econbiz.de/10010476909
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Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891
Persistent link: https://www.econbiz.de/10010437113