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Systemic risk and optimal fee for central clearing counterparty under partial netting
Cui, Zhenyu; Feng, Qi; Hu, Ruimeng; Zou, Bin - In: Operations research letters 46 (2018) 3, pp. 306-311
Persistent link: https://www.econbiz.de/10011873375
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Conditional value-at-risk in portfolio optimization : coherent but fragile
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-yi - In: Operations research letters 39 (2011) 3, pp. 163-171
Persistent link: https://www.econbiz.de/10009160241
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Solving operational statistics via a Bayesian analysis
Chu, Leon Yang; Shanthikumar, J. George; Shen, Zuo-Jun - In: Operations research letters 36 (2008) 1, pp. 110-116
Persistent link: https://www.econbiz.de/10003768577
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Conditional value-at-risk in portfolio optimization: Coherent but fragile
Lim, Andrew E.B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Operations research letters 39 (2011) 3, pp. 163-172
Persistent link: https://www.econbiz.de/10009015565