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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
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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Utility maximization under model uncertainty in discrete time
Nutz, Marcel - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 252-268
Persistent link: https://www.econbiz.de/10011577139
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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Robust worst-case optimal investment
Desmettre, Sascha; Korn, Ralf; Ruckdeschel, Peter; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 677-701
Persistent link: https://www.econbiz.de/10011296715
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Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
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Efficiency-stability trade-off in financial systems: a multi-objective optimization approach
Alexandre, Michel; Michalak, Krzystof; Silva, Thiago … - 2022
Persistent link: https://www.econbiz.de/10013461268
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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
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Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
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A Knightian irreversible investment problem
Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020
- where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …
Persistent link: https://www.econbiz.de/10012198652