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~isPartOf:"Dresdner Beiträge zu quantitativen Verfahren"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"Financial Engineering"
~subject:"coherent risk measures"
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Estimation theory
Financial Engineering
coherent risk measures
Risikomaß
40
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40
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35
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35
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23
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23
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22
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22
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Dresdner Beiträge zu quantitativen Verfahren
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22
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ECONIS (ZBW)
16
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1
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16
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date (oldest first)
1
Computation of systemic risk measures : a mixed-integer programming approach
Ararat, Çağın
;
Meimanjan, Nurtai
- In:
Operations research
71
(
2023
)
6
,
pp. 2130-2145
Persistent link: https://www.econbiz.de/10014445030
Saved in:
2
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
Systemic risk-driven portfolio selection
Capponi, Agostino
;
Rubtsov, Alexey
- In:
Operations research
70
(
2022
)
3
,
pp. 1598-1612
Persistent link: https://www.econbiz.de/10013366163
Saved in:
4
Star-shaped risk measures
Castagnoli, Erio
;
Cattelan, Giacomo
;
Maccheroni, Fabio
; …
- In:
Operations research
70
(
2022
)
5
,
pp. 2637-2654
Persistent link: https://www.econbiz.de/10014306966
Saved in:
5
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
6
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
7
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
8
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
9
Risk estimation via regression
Broadie, Mark
;
Du, Yiping
;
Moallemi, Ciamac C.
- In:
Operations research
63
(
2015
)
5
,
pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
Saved in:
10
Conditional
value-at-risk
and average
value-at-risk
: estimation and asymptotics
Chun, So Yeon
;
Shapiro, Alex
;
Uryasev, Stan
- In:
Operations research
60
(
2012
)
4
,
pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
Saved in:
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