Recommendations
Cited in
(only showing first 100 items - show all)- Uniform limit theorems for functions of order statistics
- Analyzing risk and performance using the multi-factor concept
- Model tracking for risk problems
- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Superquantile/CVaR risk measures: second-order theory
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative 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
- Risk tomography
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Robust multicriteria risk-averse stochastic programming models
- 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
- A review on ambiguity in stochastic portfolio optimization
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Risk aversion in imperfect natural gas markets
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- SDDP for multistage stochastic linear programs based on spectral risk measures
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Conditional expectiles, time consistency and mixture convexity properties
- Minimax and risk averse multistage stochastic programming
- Value-at-risk optimization using the difference of convex algorithm
- A framework for optimization under ambiguity
- Multivariate value at risk and related topics
- Scenario decomposition of risk-averse multistage stochastic programming problems
- 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
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- Weak laws of large numbers for sublinear expectation
- The decision rule approach to optimization under uncertainty: methodology and applications
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- A gamma kernel density estimation for insurance loss data
- Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
- Hahn-Banach-type theorems and subdifferentials for invariant and equivariant order continuous vector lattice-valued operators with applications to optimization
- Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
- Star-shaped deviations
- Adjusted Rényi entropic value-at-risk
- Process-based risk measures and risk-averse control of discrete-time systems
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- 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
- On conditional cuts for stochastic dual dynamic programming
- On a robust risk measurement approach for capital determination errors minimization
- Risk modelling and management: an overview
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- A dynamic programming approach to adjustable robust optimization
- The strictest common relaxation of a family of risk measures
- Weak comonotonicity
- Exhibiting abnormal returns under a risk averse strategy
- Modelling cascading effects for systemic risk: properties of the Freund copula
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Can commodities dominate stock and bond portfolios?
- Varying confidence levels for CVaR risk measures and minimax limits
- Fractional risk process in insurance
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method
- On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
- Solvency requirement for long term guarantee: risk measure versus probability of ruin
- Valuation and pricing of electricity delivery contracts: the producer's view
- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Minimal representation of insurance prices
- On distributionally robust multiperiod stochastic optimization
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- A quantitative comparison of risk measures
- Statistical estimation of composite risk functionals and risk optimization problems
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- 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
- Tree approximation for discrete time stochastic processes: a process distance approach
- Measuring risk for income streams
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Minkowski deviation measures
- Mathematical modelling of financial risks. Theory of measurement
- Bounds and approximations for multistage stochastic programs
- Measuring distribution model risk
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Decision principles derived from risk measures
- Two-stage stochastic optimization meets two-scale simulation
- Thin and heavy tails in stochastic programming
- Weak continuity of risk functionals with applications to stochastic programming
- On shape optimization with stochastic loadings
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- 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
- Risk Management with Benchmarking
- 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
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
This page was built for publication: Modeling, measuring and managing risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3528030)
