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Bridging k-sum and CVaR optimization in MILP

Filippi, Carlo; Ogryczak, Włodzimierz; Speranza, Maria … - In: Computers & operations research : and their … 105 (2019), pp. 156-166

Persistent link: https://www.econbiz.de/10011997088

Portfolio optimization with covered calls

Diaz, Mauricio; Kwon, Roy H. - In: The journal of asset management 20 (2019) 1, pp. 38-53

Persistent link: https://www.econbiz.de/10012059744

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Robust two-stage stochastic linear optimization with risk aversion

Ling, Aifan; Sun, Jie; Xiu, Naihua; Yang, Xiaoguang - In: European journal of operational research : EJOR 256 (2017) 1, pp. 215-229

Persistent link: https://www.econbiz.de/10011611260

Robust Hazmat network design problems considering risk uncertainty

Sun, Longsheng; Karwan, Mark H.; Kwon, Changhyun - In: Transportation science : a journal of the Institute for … 50 (2016) 4, pp. 1188-1203

Persistent link: https://www.econbiz.de/10011617693

Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; … - In: Computational Management Science : CMS 12 (2015) 2, pp. 319-340

Persistent link: https://www.econbiz.de/10010513407

Linear vs quadratic portfolio selection models with hard real-world constraints

Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio - In: Computational Management Science : CMS 12 (2015) 3, pp. 345-370

Persistent link: https://www.econbiz.de/10011285989

Cash flow management by risk-neutral and risk-averse stochastic approaches

Righetto, Giovanni Margarido; Morabito, Reinaldo; Alem, … - In: Journal of the Operational Research Society 71 (2020) 1, pp. 55-68

Persistent link: https://www.econbiz.de/10012215632

Optimization of Value-at-Risk : computational aspects of MIP formulations

Pavlikov, Konstantin; Veremyev, Alexander; Pasiliao, … - In: Journal of the Operational Research Society 69 (2018) 5, pp. 676-690

Persistent link: https://www.econbiz.de/10012225846

The construction of an investment portfolio using stochastic programming

Kabašinskas, Audrius; Kadikinaitė, Lina - In: Journal of sustainable finance & investment 6 (2016) 3, pp. 151-160

Persistent link: https://www.econbiz.de/10011722990