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Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

Agliardi, Rossella - In: Financial innovation : FIN 4 (2018) 10, pp. 1-13

This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall (ES), the...

Persistent link: https://www.econbiz.de/10011883109

Additive consisency of risk measures and its application to risk-averse routing in networks

Cominetti, Roberto; Torrico, Alfredo - In: Mathematics of operations research 41 (2016) 4, pp. 1510-1521

Persistent link: https://www.econbiz.de/10011595108

Risk aversion in imperfect natural gas markets

Egging, Ruud; Pichler, Alois; Kalvø, Øyvind Iversen; … - In: European journal of operational research : EJOR 259 (2017) 1, pp. 367-383

Persistent link: https://www.econbiz.de/10011644997

"Dice"-sion–making under uncertainty : when can a random decision reduce risk?

Delage, Erick; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3282-3301

Persistent link: https://www.econbiz.de/10012039992

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Mao, Tiantian; Wang, Ruodu - In: Journal of mathematical economics 103 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014230385

Inverse optimization of convex risk functions

Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 7113-7141

Persistent link: https://www.econbiz.de/10012703797

Risk neutral reformulation approach to risk averse stochastic programming

Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10012239878

Extended Gini-type measures of risk and variability

Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo … - In: Applied mathematical finance 25 (2018) 3/4, pp. 295-314

Persistent link: https://www.econbiz.de/10012128954

Farinelli and Tibiletti ratio and stochastic dominance

Guo, Xu; Niu, Cuizhen; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 3, pp. 201-213

Persistent link: https://www.econbiz.de/10012063313