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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Risk-averse stochastic programming vs. adaptive robust optimization : a virtual power plant application
Lima, Ricardo M.; Conejo, Antonio J.; Giraldi, Loïc; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1795-1818
Persistent link: https://www.econbiz.de/10013361856
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Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien; Costa, Manon; Huang, Lorick - 2022
Persistent link: https://www.econbiz.de/10013263291
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Risk budgeting portfolios from simulations
Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056
Persistent link: https://www.econbiz.de/10014440198
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Dynamisches Risikomanagement in der Energiewirtschaft
Eichhorn, Andreas; Römisch, Werner - In: Innovative Modellierung und Optimierung von Energiesystemen, (pp. 255-271). 2009
Persistent link: https://www.econbiz.de/10003920738
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A portfolio approach to managing procurement risk using multi-stage stochastic programming
Shi, Y.; Wu, F.; Chu, L. K.; Sculli, D.; Xu, Y. H. - In: Journal of the Operational Research Society : OR 62 (2011) 11, pp. 1958-1970
Persistent link: https://www.econbiz.de/10009377772
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Stochastically weighted stochastic dominance concepts with an application in capital budgeting
Hu, Jian; Homem-de-Mello, Tito; Mehrotra, Sanjay - In: European journal of operational research : EJOR 232 (2014) 3, pp. 572-583
Persistent link: https://www.econbiz.de/10010224961
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Restricted risk measures and robust optimization
Lagos, Guido; Espinoza, Daniel; Moreno, Eduardo; … - In: European journal of operational research : EJOR 241 (2015) 3, pp. 771-782
Persistent link: https://www.econbiz.de/10010487547
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An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
Escudero, Laureano F.; Monge, Juan Francisco; Romero … - In: Computers & operations research : and their … 58 (2015), pp. 32-40
Persistent link: https://www.econbiz.de/10010509424
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On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty
Escudero, Laureano F.; Garín, María Araceli; Merino, … - In: Computational Management Science : CMS 6 (2009) 3, pp. 307-327
Persistent link: https://www.econbiz.de/10003862187