Measuring risk for income streams
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Publication:2574064
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Cites work
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Convex measures of risk and trading constraints
- Credit risk optimization with conditional Value-at-Risk criterion
- Dual Stochastic Dominance and Related Mean-Risk Models
- EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
- Formulation of the Russell-Yasuda Kasai financial planning model
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- scientific article; zbMATH DE number 3760758 (Why is no real title available?)
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 3634008 (Why is no real title available?)
- scientific article; zbMATH DE number 1304951 (Why is no real title available?)
- Introduction to financial optimization: Mathematical programming special issue
- Introduction to stochastic programming.
- On consistency of stochastic dominance and mean-semideviation models
- Some remarks on the value-at-risk and the conditional value-at-risk
Cited in
(24)- Risk management for forestry planning under uncertainty in demand and prices
- Multivariate value at risk and related topics
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- The value of flexible selling: power production with storage for spinning reserve provision
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- A quantitative comparison of risk measures
- Dynamic risk measures under model uncertainty
- Superhedging in illiquid markets
- Time-inconsistent multistage stochastic programs: martingale bounds
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- Bounds in multistage linear stochastic programming
- Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
- Insurance valuation: a computable multi-period cost-of-capital approach
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Are time consistent valuations information monotone?
- The value of perfect information as a risk measure
- Two-stage international portfolio models with higher moment risk measures
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
- An elementary proof of the dual representation of expected shortfall
- Markov decision processes with risk-sensitive criteria: an overview
- Stochastic dual dynamic programming and its variants: a review
- Risk-averse multistage stochastic programs with expected conditional risk measures
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