Robust risk management

DOI10.1016/j.ejor.2012.03.036zbMath1253.91086OpenAlexW2002538129MaRDI QIDQ1926976

Apostolos Fertis, Michel Baes, Hans-Jakob Lüthi

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.03.036

zbMATH Keywords

convex programmingrobust optimizationrisk management

Mathematics Subject Classification ID

Related Items (11)

Operational risk: emerging markets, sectors and measurement ⋮ Restricted risk measures and robust optimization ⋮ Assessing financial model risk ⋮ Risk assessment and risk management: review of recent advances on their foundation ⋮ Ambiguity in risk preferences in robust stochastic optimization ⋮ Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk ⋮ Risk measures under model uncertainty: a Bayesian viewpoint ⋮ Recent advances in robust optimization: an overview ⋮ A credibilistic goal programming model for inventory routing problem with hazardous materials ⋮ Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures ⋮ Fractional derivative anomalous diffusion equation modeling prime number distribution

Uses Software

• RiskMetrics

Cites Work

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