A firm's optimizing behaviour under a value-at-risk constraint

DOI10.1080/02331930701761573zbMATH Open1158.90429OpenAlexW2091927747MaRDI QIDQ3622016FDOQ3622016

Authors: Vanda Tulli, Gerd Weinrich 

Publication date: 23 April 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930701761573

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zbMATH Keywords

optimizationvalue-at-riskbankruptcydebt financing

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Production theory, theory of the firm (91B38)

Cites Work

• Convex risk measures for portfolio optimization and concepts of flexibility
• Optimal portfolios under a value-at-risk constraint

Cited In (7)

• A difference of convex formulation of value-at-risk constrained optimization
• Measures for firms value in random scenarios
• Firm behavioral response to multiple sources of risky cash flow
• Firm behavior under illiquidity risk
• Using value-at-risk to reconcile limited liability and the moral-hazard problem
• The VaR at risk
• Financial conditions and supply decisions when firms are risk averse

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