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Monte Carlo methods for mean-risk optimization and portfolio selection

Xu, Huifu; Zhang, Dali - In: Computational Management Science : CMS 9 (2012) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10009426600

Utility-based shortfall risk : efficient computations via Monte Carlo

Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392

Persistent link: https://www.econbiz.de/10011969327

Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints

Lin, Gui-Hua; Xu, Huifu; Fukushima, Masao - In: Mathematical methods of operations research 67 (2008) 3, pp. 423-441

Persistent link: https://www.econbiz.de/10003723039

Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems

Wang, Guoxin; Zhang, Jin; Zeng, Bo; Lin, Gui-Hua - In: European journal of operational research : EJOR 265 (2018) 2, pp. 437-447

Persistent link: https://www.econbiz.de/10011811394

Convex Risk Measures : Efficient Computations via Monte Carlo

Hu, Zhaolin - 2016

With the development of financial risk management, the notion of convex risk measures has been proposed and has gained more and more attentions. Utility-based shortfall risk (SR), as a specific and important class of convex risk measures, has become popular in recent years. In this paper we...

Persistent link: https://www.econbiz.de/10012995470