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Computation of systemic risk measures : a mixed-integer programming approach

Ararat, Çağın; Meimanjan, Nurtai - In: Operations research 71 (2023) 6, pp. 2130-2145

Persistent link: https://www.econbiz.de/10014445030

Vulnerability analysis of the financial network

Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321

Persistent link: https://www.econbiz.de/10012039993

Asymptotics of multivariate conditional risk measures for Gaussian risks

Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215

Persistent link: https://www.econbiz.de/10012058863

Evaluation of strategy portfolios

Wang, Anlan; Kresta, Aleš; Tichý, Tomáš - In: Computational management science 21 (2024) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10014636777

Tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof S.; Hertog, Dirk den; Melenberg, Bertrand - 2014

Persistent link: https://www.econbiz.de/10011282869

Computationally tractable counterparts of distributionally robust constraints on risk measures

Postek, Krzysztof; Hertog, Dirk den; Melenberg, Bertrand - 2015 - Revised version of CentER Discussion Paper No. 2014-031

Persistent link: https://www.econbiz.de/10011348902

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Ramos, Henrique; Righi, Marcelo; Guedes, Pablo; … - 2022

of LP. However, using non-linear risk measures and including real features and frictions may pose a challenge. In this … paper, we solve the optimization problem of minimum portfolio risk for seven measures using linear programming under … cardinality constraints. The risk measures used are Expected Loss, Expected Loss Deviation, Expected Shortfall, Shortfall …

Persistent link: https://www.econbiz.de/10014081982

Risk-averse multistage stochastic programs with expected conditional risk measures

Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015066893

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

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