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A robust set-valued scenario approach for handling modeling risk in portfolio optimization

Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40

Persistent link: https://www.econbiz.de/10011480704

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

Minimizing the cost of risk with simulation optimization technique

Lei, Yu - In: Risk management and insurance review 14 (2011) 1, pp. 121-144

Persistent link: https://www.econbiz.de/10008987547

A quality risk management problem : case of annual crop harvest scheduling

Borodin, Valeria; Bourtembourg, Jean; Hnaien, Faicel; … - In: International journal of production research 52 (2014) 9, pp. 2682-2695

Persistent link: https://www.econbiz.de/10010351865

Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154

Persistent link: https://www.econbiz.de/10010247347

Response surface methodology

Kleijnen, Jack P. C. - 2014

Persistent link: https://www.econbiz.de/10010387894

Risk modeling, assessment, and management

Haimes, Yacov - 2016 - Fourth Edition

"Examines the multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management … This book examines risk analysis, focusing on quantifying risk and constructing probability in conjunction with real … material (extreme events and the partitioned multi-objective risk method; multi-objective decision-tree analysis; multi …

Persistent link: https://www.econbiz.de/10011332807

Risk management under Omega measure

Metel, Michael R.; Pirvu, Traian A.; Wong, Julian - In: Risks : open access journal 5 (2017) 2, pp. 1-14

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Persistent link: https://www.econbiz.de/10011643419

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

Optimisation approach to target costing under uncertainty with application to ICT-service

Becker, Denis M.; Gaivoronski, Alexei A. - In: International journal of production research 56 (2018) 5, pp. 1904-1917

Persistent link: https://www.econbiz.de/10011872292