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

DOI10.1080/02331930701761573MaRDI QIDQ3622016zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bankruptcydebt financingoptimizationvalue-at-risk

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

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

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