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Monetary risk measures for stochastic processes via Orlicz duality

Kountzakis, Christos E.; Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10013380529

Risk budgeting portfolios from simulations

Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056

Persistent link: https://www.econbiz.de/10014440198

Multilevel optimization modeling for risk-averse stochastic programming

Eckstein, Jonathan; Eskandani, Deniz; Fan, Jingnan - In: INFORMS journal on computing : JOC 28 (2016) 1, pp. 112-128

Persistent link: https://www.econbiz.de/10011453805

Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

Persistent link: https://www.econbiz.de/10011485624

Modeling time-dependent randomness in stochastic dual dynamic programming

Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661

Persistent link: https://www.econbiz.de/10011987574

Decomposability and time consistency of risk averse multistage programs

Shapiro, Alexander; Ugurlu, K. - In: Operations research letters 44 (2016) 5, pp. 663-665

Persistent link: https://www.econbiz.de/10011596625

Optimization with stochastic preferences based on a general class of scalarization functions

Noyan, Nilay; Rudolf, Gábor - In: Operations research 66 (2018) 2, pp. 463-486

Persistent link: https://www.econbiz.de/10011845995

Risk-averse bargaining in a stochastic optimization context

Gutjahr, Walter J.; Kovacevic, Raimund; Wozabal, David - In: Manufacturing & service operations management : M & SOM 25 (2023) 1, pp. 323-340

Persistent link: https://www.econbiz.de/10014299605

Epi-regularization of risk measures

Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795

Persistent link: https://www.econbiz.de/10012242555

Spectral risk measure of holding stocks in the long run

Bihary, Zsolt; Csóka, Péter; Szabó, Dávid Zoltán - 2018

We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock price follows specific processes, spectral risk becomes...

Persistent link: https://www.econbiz.de/10012011388