scientific article
From MaRDI portal
Publication:3528030
zbMath1153.91023MaRDI QIDQ3528030
Werner Römisch, Georg Ch. Pflug
Publication date: 2 October 2008
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (only showing first 100 items - show all)
A new coherent multivariate average-value-at-risk ⋮ Refinements of Kusuoka representations on L∞ ⋮ Preference Robust Modified Optimized Certainty Equivalent ⋮ Optimal payoffs for directionally closed acceptance sets ⋮ Optimality Conditions and Moreau–Yosida Regularization for Almost Sure State Constraints ⋮ Recursive risk measures under regime switching applied to portfolio selection ⋮ Quantification of risk in classical models of finance ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Solvency Analysis of Defined Benefit Pension Schemes ⋮ BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ Unnamed Item ⋮ Iterated VaR or CTE measures: A false good idea? ⋮ Acceptability indices of performance for bounded càdlàg processes ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Premiums and reserves, adjusted by distortions ⋮ Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Stochastic Dominance Constraints in Elastic Shape Optimization ⋮ Unnamed Item ⋮ Two-Stage Stochastic Optimization Meets Two-Scale Simulation ⋮ Thin and heavy tails in stochastic programming ⋮ Large-scale financial planning via a partially observable stochastic dual dynamic programming framework ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Minkowski deviation measures ⋮ Risk filtering and risk-averse control of Markovian systems subject to model uncertainty ⋮ Sample average approximation for risk-averse problems: a virtual power plant scheduling application ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Weak Continuity of Risk Functionals with Applications to Stochastic Programming ⋮ Unnamed Item ⋮ An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems ⋮ An elementary proof of the dual representation of expected shortfall ⋮ Mini-Batch Risk Forms ⋮ On Shape Optimization with Stochastic Loadings ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ Option pricing and stochastic optimization ⋮ An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree ⋮ Adjusted higher-order expected shortfall ⋮ A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ Taking Risk into Account in Electricity Portfolio Management ⋮ Hedging Market and Credit Risk in Corporate Bond Portfolios ⋮ Dynamic Portfolio Management for Property and Casualty Insurance ⋮ A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES ⋮ Capital Allocation Using the Bootstrap ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ Bounds and Approximations for Multistage Stochastic Programs ⋮ Stochastic multi-objective optimization: a survey on non-scalarizing methods ⋮ The natural Banach space for version independent risk measures ⋮ Structure of risk-averse multistage stochastic programs ⋮ A family of premium principles based on mixtures of TVaRs ⋮ Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions ⋮ Asymptotic consistency of risk functionals ⋮ Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures ⋮ Variational Theory for Optimization under Stochastic Ambiguity ⋮ Weighted Pricing Functionals With Applications to Insurance ⋮ Robustness in the Optimization of Risk Measures ⋮ Risk measurement and risk-averse control of partially observable discrete-time Markov systems ⋮ The standard formula of Solvency II: a critical discussion ⋮ The distortion principle for insurance pricing: properties, identification and robustness ⋮ On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets ⋮ Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy ⋮ On a time consistency concept in risk averse multistage stochastic programming ⋮ Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ Superquantile/CVaR risk measures: second-order theory ⋮ When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management ⋮ Time-inconsistent multistage stochastic programs: martingale bounds ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ Nonlinear stochastic programming-with a case study in continuous switching ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management ⋮ On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management ⋮ Time consistent multi-period worst-case risk measure in robust portfolio selection ⋮ A quantitative comparison of risk measures ⋮ Risk averse elastic shape optimization with parametrized fine scale geometry ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Risk-averse dynamic programming for Markov decision processes ⋮ Minimax and risk averse multistage stochastic programming ⋮ Risk tomography ⋮ On a characterization of variance and covariance ⋮ Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management ⋮ Value-at-risk optimization using the difference of convex algorithm ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ A framework for optimization under ambiguity ⋮ Multivariate value at risk and related topics ⋮ Scenario decomposition of risk-averse multistage stochastic programming problems ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Risk forms: representation, disintegration, and application to partially observable two-stage systems ⋮ Quantile-based risk sharing with heterogeneous beliefs ⋮ Martingale characterizations of risk-averse stochastic optimization problems ⋮ On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty ⋮ Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures ⋮ Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin ⋮ Bounds for nested law invariant coherent risk measures ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Robust multicriteria risk-averse stochastic programming models ⋮ Insurance pricing under ambiguity ⋮ Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs
This page was built for publication: