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A trade execution model under a composite dynamic coherent risk measure
Lin, Qihang; Chen, Xi; Peña, Javier - In: Operations research letters 43 (2015) 1, pp. 52-58
Persistent link: https://www.econbiz.de/10010486353
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Distributionally robust optimal control and MDP modeling
Shapiro, Alexander - In: Operations research letters 49 (2021) 5, pp. 809-814
Persistent link: https://www.econbiz.de/10013207452
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Application of nonlinear filtering to credit risk
Borkar, Vivek S.; Ghosh, Mrinal K.; Rangarajan, Govindan - In: Operations research letters 38 (2010) 6, pp. 527-532
Persistent link: https://www.econbiz.de/10008737061
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Risk-averse stochastic optimal control : An efficiently computable statistical upper bound
Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400
Persistent link: https://www.econbiz.de/10014426574
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On approximations of data-driven chance constrained programs over Wasserstein balls
Chen, Zhi; Kuhn, Daniel; Wiesemann, Wolfram - In: Operations research letters 51 (2023) 3, pp. 226-233
Persistent link: https://www.econbiz.de/10014374834
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Dual SDDP for risk-averse multistage stochastic programs
Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337
Persistent link: https://www.econbiz.de/10014374928
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Deviation inequalities for an estimator of the conditional value-at-risk
Wang, Ying; Gao, Fuqing - In: Operations research letters 38 (2010) 3, pp. 236-239
Persistent link: https://www.econbiz.de/10003968684
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
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Market price-based convex risk measures : a distribution-free optimization approach
Li, Jonathan Y.; Kwon, Roy H. - In: Operations research letters 40 (2012) 2, pp. 128-133
Persistent link: https://www.econbiz.de/10009507888
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SDDP for multistage stochastic linear programs based on spectral risk measures
Guigues, Vincent; Römisch, Werner - In: Operations research letters 40 (2012) 5, pp. 313-318
Persistent link: https://www.econbiz.de/10009613830