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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

Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

Novel approaches for portfolio construction using second order stochastic dominance

Valle, Christiano Arbex; Roman, Diana; Mitra, Gautam - In: Computational Management Science : CMS 14 (2017) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10011710779

Stochastic ordering of stationary distributions of linear recurrences : further results and economic applications

Di Pietro, Christian; Pietroluongo, Mariafortuna; … - In: Economies : open access journal 11 (2023) 4, pp. 1-10

We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence 𝑋𝑡+1=𝐴𝑡𝑋𝑡+𝐵𝑡 , where 𝐴𝑡 and 𝐵𝑡 are non-negative random variables. We establish novel order-preserving properties, which enable us to obtain comparison theorems...

Persistent link: https://www.econbiz.de/10014318759

Robustness of optimal portfolios under risk and stochastic dominance constraints

Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441

Persistent link: https://www.econbiz.de/10010356735

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

Postek, Krzysztof - 2015

risk measure of a decision-dependent random variable stays below a prescribed level. At the same time, the underlying … probability distribution determining the risk measure's value is typically known only up to a certain degree and the constraint … derivation of a tractable robust counterpart can be split into two parts: one corresponding to the risk measure and the other to …

Persistent link: https://www.econbiz.de/10013033612

On the price of risk in a mean-risk optimization model

Dentcheva, Darinka; Stock, Gregory J. - In: Quantitative finance 18 (2018) 10, pp. 1699-1713

Persistent link: https://www.econbiz.de/10012261905

Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing

Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364

Persistent link: https://www.econbiz.de/10010437154

Comparing multivariate distributions : a novel approach using optimal transport-based plots

Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024

Persistent link: https://www.econbiz.de/10014545370