This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal...

Volatility is a key variable for portfolio selection models, option pricing models and risk management techniques. Volatility can be estimated and forecasted by using either historical information or option prices. The present paper focuses on option-based volatility forecasts for three main...

A conditional value-at-risk (CVaR) based inexact two-stage stochastic programming (CITSP) model was developed in this study for supporting water resources allocation problems under uncertainty. A CITSP model was formulated through incorporating a CVaR constraint into an inexact two-stage...