Risk tomography (Q1681334)

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Language	Label	Description	Also known as
English	Risk tomography	scientific article

Statements

scholarly article

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Risk tomography (English)

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Prékopa, András

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European Journal of Operational Research

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publication date

23 November 2017

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zbMATH Keywords

multivariate risk measures

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\(p\)-efficient points

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convexity

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value-at-risk

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conditional value-at-risk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2017.07.055

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Coherent Measures of Risk

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Risk assessment and risk management: review of recent advances on their foundation

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Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming

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Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory

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Consistent risk measures for portfolio vectors

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On multivariate extensions of conditional-tail-expectation

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Concavity and efficient points of discrete distributions in probabilistic programming.

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Optimization with Stochastic Dominance Constraints

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Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints

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Optimization with multivariate stochastic dominance constraints

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Convex measures of risk and trading constraints

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Stochastic finance. An introduction in discrete time

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OR Forum—Design of Risk Weights

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Multivariate Fréchet copulas and conditional value-at-risk

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Duality in stochastic linear and dynamic programming

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Computing the probability of union in the $n$-dimensional Euclidean space for application of the multivariate quantile: $p$-level efficient points

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Properties and calculation of multivariate risk measures: MVaR and MCVaR

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On the probability of union in the $n$-space

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Optimization with Multivariate Conditional Value-at-Risk Constraints

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From stochastic dominance to mean-risk models: Semideviations as risk measures

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Dual Stochastic Dominance and Related Mean-Risk Models

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60 years of portfolio optimization: practical challenges and current trends

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Contributions to the theory of stochastic programming

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Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution

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Multivariate value at risk and related topics

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Conditional value-at-risk in stochastic programs with mixed-integer recourse

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The sources of Kolmogorov's \textit{Grundbegriffe}

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Lectures on Stochastic Programming

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Measures of risk

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A directional multivariate value at risk

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Scatter Search and Local NLP Solvers: A Multistart Framework for Global Optimization

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.EJOR.2017.07.055

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Sitelinks

Mathematics(1 entry)

mardi Publication:1681334

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