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Risk parity : An alternative f...
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Portfolio optimization with entropic value-at-
risk
Ahmadi-Javid, Amir
;
Fallah-Tafti, Malihe
- In:
European journal of operational research : EJOR
279
(
2019
)
1
,
pp. 225-241
Persistent link: https://www.econbiz.de/10012102740
Saved in:
7
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
8
Stochastic maximum flow interdiction problems under heterogeneous
risk
preferences
Lei, Xiao
;
Shen, Siqian
;
Song, Yongjia
- In:
Computers & operations research : and their …
90
(
2018
),
pp. 97-109
Persistent link: https://www.econbiz.de/10011775269
Saved in:
9
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
Saved in:
10
Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco
;
Mansini, Renata
;
Ogryczak, …
- In:
Stochastic optimization: theory and applications
,
(pp. 883-931)
.
2020
Persistent link: https://www.econbiz.de/10012290853
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