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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and …. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

Persistent link: https://www.econbiz.de/10011545172

Limit integration theorems for monotone functions with applications to dynamic programming

Dutta, Prajit K.; Majumdar, Mukul - 1990 - Rev

Persistent link: https://www.econbiz.de/10000810719

Limit integration theorems for monotone functions with applications to dynamic programming

Dutta, Prajit K.; Majumdar, Mukul - 1991 - Rev

Persistent link: https://www.econbiz.de/10000813865

A dynamic programming model of US nuclear power plant operations

Rothwell, Geoffrey Scott; Rust, John - 1995

Persistent link: https://www.econbiz.de/10000925259

A fixed point theorem and an application to Bellman operators

Hosoya, Yuhki; Yao, Masayuki - In: Theoretical economics letters 3 (2013) 1, pp. 65-68

Persistent link: https://www.econbiz.de/10010239029

A hybrid simulated annealing and column generation approach for capacitated multicommodity network design

Yaghini, M.; Rahbar, M.; Karimi, M. - In: Journal of the Operational Research Society : OR 64 (2013) 7, pp. 1010-1020

Persistent link: https://www.econbiz.de/10009768414

Integrating stochastic time-dependent travel speed in solution methods for the dynamic dial-a-ride problem

Schilde, Michael; Dörner, Karl Franz; Hartl, Richard F. - In: European journal of operational research : EJOR 238 (2014) 1, pp. 18-30

Persistent link: https://www.econbiz.de/10010398891

Optimal production and selling policies with fixed-price contracts and contingent-price offers

Ku, Cheng-yuan; Chang, Yi-wen - In: International journal of production economics 137 (2012) 1, pp. 94-101

Persistent link: https://www.econbiz.de/10009526089

A discrete dynamic convexized method for the max-cut problem

Lin, Geng; Zhu, Wenxing - 2012

Persistent link: https://www.econbiz.de/10009581383

Risk sensitive asset allocation

Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177

Persistent link: https://www.econbiz.de/10001474593

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