scientific article

From MaRDI portal
Publication:2752044

zbMath0989.91052MaRDI QIDQ2752044

Stanislav P. Uryasev, R. Tyrrell Rockafellar

Publication date: 7 August 2002


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (34)

Scenario aggregation method for portfolio expectile optimizationA double clustering algorithm for financial time series based on extreme eventsContinuous time portfolio selection under conditional capital at riskImproved confidence intervals for quantilesLevel bundle methods for constrained convex optimization with various oraclesOn risk measuring in the variance-gamma modelOptimal expected utility risk measuresTemporal Robustness of Stochastic SignalsCost/risk balanced management of scarce resources using stochastic programmingMinimizing oracle-structured composite functionsImpact of deferred payment on decisions and coordination in a dual-channel supply chain with a risk-averse retailerA consistent estimator to the orthant-based tail value-at-riskAN AXIOMATIC APPROACH TO CAPITAL ALLOCATIONStochastic multi-site supply chain planning in textile and apparel industry under demand and price uncertainties with risk aversionMedium-term planning for thermal electricity productionRisk preferences on the space of quantile functionsSelection of a fixed-income portfolioRisk management with expected shortfallNew algorithmic framework for conditional value at risk: application to stochastic fixed-charge transportationNon asymptotic controls on a recursive superquantile approximationModeling the dependence of losses of a financial portfolio using nested Archimedean copulasStochastic Monotonicity of the Mean-CVaRs and Their Applications to Inventory Systems with Stockout Cost: A Transformation ApproachIndex tracking and enhanced indexing using mixed conditional value-at-riskShortfall as a risk measure: properties, optimization and applicationsRisk-Averse PDE-Constrained Optimization Using the Conditional Value-At-RiskOptimal portfolio selection and dynamic benchmark trackingApproximation of CVaR minimization for hedging under exponential-Lévy modelsNested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluationMultilevel Optimization Modeling for Risk-Averse Stochastic ProgrammingVerification of internal risk measure estimatesDistributionally robust front distribution center inventory optimization with uncertain multi-item ordersDistributionally robust return-risk optimization models and their applicationsThe case of ``Less is more: modelling risk-preference with expected downside riskConsistent modeling of risk averse behavior with spectral risk measures




This page was built for publication: