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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Mastrogiacomo, Elisa - 2014

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance … applying inf-convolution of risk measures and convex analysis.In the recent literature, an increasing interest has been devoted … to quasiconvex risk measures, that is risk measures where convexity is replaced by quasiconvexity and cash-additivity is …

Persistent link: https://www.econbiz.de/10013060083

A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a … predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that …

Persistent link: https://www.econbiz.de/10012584957

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

Uncertainty representation and risk management for direct segmented marketing

Pachamanova, Dessislava A.; Lo, Victor S.; Gülpınar, … - In: Journal of marketing management : JMM ; journal of the … 36 (2020) 1/2, pp. 149-175

Persistent link: https://www.econbiz.de/10012178695

Risk modeling, assessment and management

Haimes, Yacov - 1998

Persistent link: https://www.econbiz.de/10013490367

Managing underperformance risk in project portfolio selection

Hall, Nicholas G.; Long, Daniel Zhuoyu; Qi, Jin; Sim, Melvyn - In: Operations research 63 (2015) 3, pp. 660-675

Persistent link: https://www.econbiz.de/10011292938

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533