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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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On the price of risk in a mean-risk optimization model
Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713
Persistent link: https://www.econbiz.de/10012261905
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Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi; Cui, Ying; Pang, Jong-shi - In: Mathematics of operations research 47 (2022) 4, pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
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Risk parity : An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses
Mohabbati-Kalejahi, Nasrin; Vinel, Alexander - In: Journal of the Operational Research Society 74 (2023) 3, pp. 797-810
Persistent link: https://www.econbiz.de/10014332139
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Risk-averse bargaining in a stochastic optimization context
Gutjahr, Walter J.; Kovacevic, Raimund; Wozabal, David - In: Manufacturing & service operations management : M & SOM 25 (2023) 1, pp. 323-340
Persistent link: https://www.econbiz.de/10014299605
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Index policy for multiarmed bandit problem with dynamic risk measures
Malekipirbazari, Milad; Çavuş, Özlem - In: European journal of operational research : EJOR 312 (2024) 2, pp. 627-640
Persistent link: https://www.econbiz.de/10014456308
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
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Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties
Audet, Charles; Bigeon, Jean; Couderc, Romain; … - 2023
Persistent link: https://www.econbiz.de/10014417933
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Risk-based robust statistical learning by stochastic difference-of-convex value-function optimization
Liu, Junyi; Pang, Jong-shi - In: Operations research 71 (2023) 2, pp. 397-414
Persistent link: https://www.econbiz.de/10014308587
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Scenario-based stochastic model for supplier selection and order allocation under disruption risk and quantity discount
Hamdi, Faiza; Masmoudi, Faouzi - In: International journal of risk assessment and management … 25 (2022) 1/2, pp. 84-102
Persistent link: https://www.econbiz.de/10014227076