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Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
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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
Persistent link: https://www.econbiz.de/10011987574
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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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
Persistent link: https://www.econbiz.de/10012102740
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
Bi, Junna; Chen, Kailing - In: RAIRO / Operations research 53 (2019) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10012113620
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New algorithmic framework for conditional value at risk : application to stochastic fixed-charge transportation
Fernández, Elena; Hinojosa, Yolanda; Puerto, Justo; … - In: European journal of operational research : EJOR 277 (2019) 1, pp. 215-226
Persistent link: https://www.econbiz.de/10012014841
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Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
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Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105
Persistent link: https://www.econbiz.de/10011848149
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095